{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,1,27]],"date-time":"2026-01-27T22:46:58Z","timestamp":1769554018184,"version":"3.49.0"},"reference-count":25,"publisher":"Cambridge University Press (CUP)","issue":"5","license":[{"start":{"date-parts":[[2009,2,11]],"date-time":"2009-02-11T00:00:00Z","timestamp":1234310400000},"content-version":"unspecified","delay-in-days":4151,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[1997,10]]},"abstract":"<jats:p>The aim of this paper is to characterize and analyze long-run comovements among diffusion processes. Broadly speaking, if <jats:italic>X<\/jats:italic> = (<jats:italic>X<\/jats:italic><jats:sub>1<\/jats:sub>,,<jats:italic>X<\/jats:italic><jats:sub>2<\/jats:sub>,;t \u2265 0) is a nonergodic diffusion in R<jats:sup>2<\/jats:sup>, but there exists a linear combination, say, \u03b3\u2032<jats:italic>X<\/jats:italic>, that is instead ergodic in R, then we say there exists a linear stochastic comovement between the components of <jats:italic>X<\/jats:italic>. Linear diffusions exhibiting stochastic comovements admit an error correction representation. Estimation of \u03b3 and hypothesis testing, under different sampling schemes, are considered.<\/jats:p>","DOI":"10.1017\/s0266466600006113","type":"journal-article","created":{"date-parts":[[2009,3,10]],"date-time":"2009-03-10T15:36:26Z","timestamp":1236699386000},"page":"646-666","source":"Crossref","is-referenced-by-count":6,"title":["Comovements Between Diffusion Processes"],"prefix":"10.1017","volume":"13","author":[{"given":"Valentina","family":"Corradi","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2009,2,11]]},"reference":[{"key":"S0266466600006113_ref025","volume-title":"Multidimensional Diffusion Processes","author":"Strook","year":"1979"},{"key":"S0266466600006113_ref021","first-page":"967","volume-title":"Econometrica","volume":"59","author":"Phillips","year":"1991"},{"key":"S0266466600006113_ref008","first-page":"489","volume-title":"Econometric Theory","volume":"8","author":"Hansen","year":"1992"},{"key":"S0266466600006113_ref014","first-page":"1035","volume-title":"Annals of Probabitity","volume":"19","author":"Kurtz","year":"1991"},{"key":"S0266466600006113_ref006","doi-asserted-by":"publisher","DOI":"10.1080\/17442508608833428"},{"key":"S0266466600006113_ref001","volume-title":"Stochastic Differential Equations: Theory and Applications","author":"Arnold","year":"1974"},{"key":"S0266466600006113_ref002","doi-asserted-by":"publisher","DOI":"10.2307\/3214462"},{"key":"S0266466600006113_ref003","doi-asserted-by":"publisher","DOI":"10.1007\/BF00531822"},{"key":"S0266466600006113_ref015","doi-asserted-by":"publisher","DOI":"10.1007\/BF00532611"},{"key":"S0266466600006113_ref013","volume-title":"Brownian Motion and Stochastic Calculus","author":"Karatzas","year":"1991"},{"key":"S0266466600006113_ref005","unstructured":"Corradi V. & H. 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