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Second-order diffusion process can not only model integrated and differentiated diffusion processes but also overcome the difficulties associated with the nondifferentiability of the Brownian motion, so these models play an important role in econometric analysis. In this paper, we propose a re-weighted estimator of the diffusion coefficient in the second-order diffusion model. Consistence of the estimator...
Let {Xn, n≥1} be a stationary LNQD or NA sequence satisfying EX1 = μ, EX12 <∞ and (Var Sn)/n→σ2 as n→∞. In this paper a class of self-normalized central limit theorems and estimators of Var Sn are studied. The weak and strong consistency of the estimators of Var Sn are presented.
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