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Analytic derivatives of the matrix exponential for estimation of linear continuous-time models1

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Chen, Baoline
Zadrozny, Peter A.

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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 25 (2001)
Issue (Month): 12 (December)
Pages: 1867-1879
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Handle: RePEc:eee:dyncon:v:25:y:2001:i:12:p:1867-1879

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  1. Diez de los Rios, Antonio & Sentana, Enrique, 2007. "Testing Uncovered Interest Parity: A Continuous-Time Approach," CEPR Discussion Papers 6516, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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