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Volatility tests and efficient markets : a review essay
Cochrane, John H. - In: Journal of monetary economics 27 (1991) 3, pp. 463-485
Persistent link: https://www.econbiz.de/10001108299
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How big is the random walk in GNP?
Cochrane, John H. - In: Journal of political economy 96 (1988) 5, pp. 893-920
Persistent link: https://www.econbiz.de/10001063859
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A critique of the application of unit root tests
Cochrane, John H. - In: Journal of economic dynamics & control 15 (1991) 2, pp. 275-284
Persistent link: https://www.econbiz.de/10001099501
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Continuous-time linear models
Cochrane, John H. - 2012
Persistent link: https://www.econbiz.de/10009710832
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Continuous-time linear models
Cochrane, John H. - 2012
Persistent link: https://www.econbiz.de/10009561276
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Financial markets and the real economy
Cochrane, John H. - In: Handbook of the equity risk premium, (pp. 237-325). 2008
Persistent link: https://www.econbiz.de/10003598621
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Multivariate estimates of the permanent components of GNP and stock prices
Cochrane, John H. - In: Journal of economic dynamics & control 12 (1988) 2, pp. 199-607
Persistent link: https://www.econbiz.de/10001269092
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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/10013104725
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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