The History of Continuous-Time Econometric Models
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 4 (1988)
Issue (Month): 03 (December)
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- Peter Robinson, 2007. "On Discrete Sampling Of Time-Varyingcontinuous-Time Systems," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /2007/520, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Peter Robinson, 2007. "On discrete sampling of time-varying continuous-time systems," LSE Research Online Documents on Economics 6795, London School of Economics and Political Science, LSE Library.
- Peter C. B. Phillips & Jun Yu, 2005. "Comments on Ã¢â‚¬Å“A selective overview of nonparametric methods in financial econometricsÃ¢â‚¬Â," Finance Working Papers 22469, East Asian Bureau of Economic Research.
- Alvaro Escribano & J. Ignacio PeÃ±a & Pablo Villaplana, 2011.
"Modelling Electricity Prices: International Evidence,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 73(5), pages 622-650, October.
- Alvaro Escribano & Juan Ignacio PeÃ±a & Pablo Villaplana, 2002. "Modeling Electricity Prices: International Evidence," Economics Working Papers we022708, Universidad Carlos III, Departamento de EconomÃa.
- Arie ten Cate, 2004. "Refinement of the partial adjustment model using continuous-time econometrics," CPB Discussion Paper 41, CPB Netherlands Bureau for Economic Policy Analysis.
- Federico M. Bandi & Peter C.B. Phillips, 2001.
"Fully Nonparametric Estimation of Scalar Diffusion Models,"
Cowles Foundation Discussion Papers
1332, Cowles Foundation for Research in Economics, Yale University.
- Federico M. Bandi & Peter C. B. Phillips, 2003. "Fully Nonparametric Estimation of Scalar Diffusion Models," Econometrica, Econometric Society, Econometric Society, vol. 71(1), pages 241-283, January.
- Hermann Singer, 2011. "Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms," AStA Advances in Statistical Analysis, Springer, Springer, vol. 95(4), pages 375-413, December.
- Das, Sanjiv R., 2002. "The surprise element: jumps in interest rates," Journal of Econometrics, Elsevier, Elsevier, vol. 106(1), pages 27-65, January.
- Tucker McElroy, 2013. "Forecasting continuous-time processes with applications to signal extraction," Annals of the Institute of Statistical Mathematics, Springer, Springer, vol. 65(3), pages 439-456, June.
- Peter C. B. Phillips & Jun Yu, 2005. "Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan," Working Papers 08-2005, Singapore Management University, School of Economics.
- Peter Fuleky, 2012.
"On the choice of the unit period in time series models,"
Applied Economics Letters,
Taylor & Francis Journals, vol. 19(12), pages 1179-1182, August.
- Peter Fuleky, 2011. "On the Choice of the Unit Period in Time Series Models," Working Papers 201111, University of Hawaii at Manoa, Department of Economics.
- Peter Fuleky, 2011. "On the Choice of the Unit Period in Time Series Models," Working Papers 2011-4, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
- Nomikos, Nikos K. & Soldatos, Orestes A., 2010. "Modelling short and long-term risks in power markets: Empirical evidence from Nord Pool," Energy Policy, Elsevier, vol. 38(10), pages 5671-5683, October.
- J. Oud, 2010. "Second-order stochastic differential equation model as an alternative for the ALT and CALT models," AStA Advances in Statistical Analysis, Springer, Springer, vol. 94(2), pages 203-215, June.
- Tucker S. McElroy & Thomas M. Trimbur, 2007. "Continuous time extraction of a nonstationary signal with illustrations in continuous low-pass and band-pass filtering," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2007-68, Board of Governors of the Federal Reserve System (U.S.).
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