Continuous-Time Linear Models

I translate familiar concepts of discrete-time time-series to contnuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas.

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Year of publication:	2012-06
Authors:	Cochrane, John H.
Institutions:	National Bureau of Economic Research (NBER)

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Extent:	application/pdf
Series:	NBER Working Papers.
Type of publication:	Book / Working Paper
Notes:	AP EFG published as Cochrane, John H., 2012. "Continuous-Time Linear Models," Foundations and Trends(R) in Finance, now publishers, vol. 6(3), pages 165-219, November. Number 18181
Classification:	C01 - Econometrics ; C5 - Econometric Modeling ; c58 ; E17 - Forecasting and Simulation ; G17 - Financial Forecasting
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010785606