The Estimation of Higher-Order Continuous Time Autoregressive Models
Download full text from publisher
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Andrew Filardo & Marco Jacopo Lombardi & Marek Raczko, 2018. "Measuring financial cycle time," BIS Working Papers 755, Bank for International Settlements.
- Lawrence J. Christiano & Martin S. Eichenbaum, 1985.
"A continuous time, general equilibrium, inventory-sales model,"
361, Federal Reserve Bank of Minneapolis.
- Lawrence J. Christiano & Martin S. Eichenbaum, 1986. "A continuous time, general equilibrium, inventory-sales model," Working Papers 304, Federal Reserve Bank of Minneapolis.
- D. Stephen G. Pollock, 2020. "Linear Stochastic Models in Discrete and Continuous Time," Econometrics, MDPI, Open Access Journal, vol. 8(3), pages 1-22, September.
- Lo, Andrew W., 1988.
"Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data,"
Econometric Theory, Cambridge University Press, vol. 4(2), pages 231-247, August.
- Andrew W. Lo, "undated". "Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data," Rodney L. White Center for Financial Research Working Papers 15-86, Wharton School Rodney L. White Center for Financial Research.
- Andrew W. Lo, 1986. "Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data," NBER Technical Working Papers 0059, National Bureau of Economic Research, Inc.
- Hansen, Lars Peter & Scheinkman, Jose Alexandre, 1995.
"Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes,"
Econometrica, Econometric Society, vol. 63(4), pages 767-804, July.
- Lars Peter Hansen & Jose Alexandre Scheinkman, 1993. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," NBER Technical Working Papers 0141, National Bureau of Economic Research, Inc.
- 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 2007-68, Board of Governors of the Federal Reserve System (U.S.).
- Comte, F., 1998. "Discrete and continuous time cointegration," Journal of Econometrics, Elsevier, vol. 88(2), pages 207-226, November.
- Thornton, Michael A. & Chambers, Marcus J., 2017.
"Continuous time ARMA processes: Discrete time representation and likelihood evaluation,"
Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 48-65.
- Michael Thornton & Marcus Chambers, 2016. "Continuous Time ARMA Processes: Discrete Time Representation and Likelihood Evaluation," Discussion Papers 16/10, Department of Economics, University of York.
- Lars Peter Hansen & Thomas J. Sargent, 1993. "Recursive linear models of dynamic economies," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Thornton, Michael A. & Chambers, Marcus J., 2016. "The exact discretisation of CARMA models with applications in finance," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 739-761.
- Michael A. Thornton & Marcus J. Chambers, 2013. "Continuous-time autoregressive moving average processes in discrete time: representation and embeddability," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(5), pages 552-561, September.
- Vicky Fasen‐Hartmann & Sebastian Kimmig, 2020. "Robust estimation of stationary continuous‐time arma models via indirect inference," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 620-651, September.
- Chambers, Marcus J., 1999. "Discrete time representation of stationary and non-stationary continuous time systems," Journal of Economic Dynamics and Control, Elsevier, vol. 23(4), pages 619-639, February.
- D.S.G. Pollock, "undated". "Linear Stochastic Models in Discrete and Continuous Time," Discussion Papers in Economics 19/10, Division of Economics, School of Business, University of Leicester.
- Chambers, MJ & McCrorie, JR & Thornton, MA, 2017. "Continuous Time Modelling Based on an Exact Discrete Time Representation," Economics Discussion Papers 20497, University of Essex, Department of Economics.
- Stock, James H., 1987. "Measuring Business Cycle Time," Scholarly Articles 3425950, Harvard University Department of Economics.
- Hermann Singer, 2003. "Simulated Maximum Likelihood in Nonlinear Continuous-Discrete State Space Models: Importance Sampling by Approximate Smoothing," Computational Statistics, Springer, vol. 18(1), pages 79-106, March.
- Roderick McCrorie, J., 2001. "Interpolating exogenous variables in continuous time dynamic models," Journal of Economic Dynamics and Control, Elsevier, vol. 25(9), pages 1399-1427, September.
- J. Roderick McCrorie, 2000. "The Likelihood of a Continuous-time Vector Autoregressive Model," Working Papers 419, Queen Mary University of London, School of Economics and Finance.
- Michael A. Thornton & Marcus J. Chambers, 2013. "Temporal aggregation in macroeconomics," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 13, pages 289-310, Edward Elgar Publishing.
- Hermann Singer, 2011. "Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 95(4), pages 375-413, December.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:1:y:1985:i:01:p:97-117_01. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: . General contact details of provider: https://www.cambridge.org/ect .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no bibliographic references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Keith Waters (email available below). General contact details of provider: https://www.cambridge.org/ect .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.