Chen, Xiaohong; Hansen, Lars Peter; Carrasco, Marine - In: Journal of Econometrics 155 (2010) 2, pp. 155-169
Nonlinearities in the drift and diffusion coefficients influence temporal dependence in diffusion models. We study this link using three measures of temporal dependence: [rho]-mixing, [beta]-mixing and [alpha]-mixing. Stationary diffusions that are [rho]-mixing have mixing coefficients that...