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person:"Fabozzi, Frank J."
~subject:"Theorie"
~person:"Cochrane, John H."
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Search: subject_exact:"Box-Jenkins methodology"
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Fabozzi, Frank J.
Cochrane, John H.
Beran, Jan
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ECONIS (ZBW)
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Continuous-Time Linear Models
Cochrane, John H.
-
2012
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
Persistent link: https://www.econbiz.de/10012460479
Saved in:
2
Continuous-Time Linear Models
Cochrane, John H.
-
2012
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
Persistent link: https://www.econbiz.de/10013104725
Saved in:
3
Continuous-Time Linear Models
Cochrane, John H.
-
2012
I translate familiar concepts of discrete-time time-series to continuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas
Persistent link: https://www.econbiz.de/10013105103
Saved in:
4
Time series analysis for financial market meltdowns
Kim, Young Shin
;
Račev, Svetlozar T.
;
Bianchi, Michele …
-
2010
There appears to be a consensus that the recent instability in global financial markets may be attributable in part to the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks associated with large adverse stock price behavior. In this...
Persistent link: https://www.econbiz.de/10008653556
Saved in:
5
Continuous-time linear models
Cochrane, John H.
-
2012
Persistent link: https://www.econbiz.de/10009561276
Saved in:
6
Continuous-time linear models
Cochrane, John H.
-
2012
Persistent link: https://www.econbiz.de/10009710832
Saved in:
7
Balancing energy strategies in electricity portfolio management
Möller, Christoph
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Energy economics
33
(
2011
)
1
,
pp. 2-11
Persistent link: https://www.econbiz.de/10009260887
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