Continuous-Time Linear Models

I translate familiar concepts of discrete-time time series to contnuoustime 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
Authors:	Cochrane, John H.
Published in:	Foundations and Trends(R) in Finance. - now publishers. - Vol. 6.2012, 3, p. 165-219
Publisher:	now publishers
Subject:	Dynamic corporate finance \| Structural empirical methods \| Dynamic capital structure models

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Extent:	application/xml
Type of publication:	Article
Other identifiers:	10.1561/0500000037 [DOI]
Classification:	G3 - Corporate Finance and Governance ; c58
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010693714