Continuous-Time Linear Models
AbstractI 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.
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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 18181.
Date of creation: Jun 2012
Date of revision:
Publication status: published as Cochrane, John H., 2012. "Continuous-Time Linear Models," Foundations and Trends(R) in Finance, now publishers, vol. 6(3), pages 165-219, November.
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Other versions of this item:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-07-01 (All new papers)
- NEP-ECM-2012-07-01 (Econometrics)
- NEP-ETS-2012-07-01 (Econometric Time Series)
- NEP-FOR-2012-07-01 (Forecasting)
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