Discrete Time Representation Of Continuous Time Arma Processes
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- repec:eee:dyncon:v:79:y:2017:i:c:p:48-65 is not listed on IDEAS
- 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.
- Chambers, Marcus J., 2016.
"The estimation of continuous time models with mixed frequency data,"
Journal of Econometrics,
Elsevier, vol. 193(2), pages 390-404.
- Chambers, MJ, 2016. "The Estimation of Continuous Time Models with Mixed Frequency Data," Economics Discussion Papers 15988, University of Essex, Department of Economics.
- Neil Kellard & Denise Osborn & Jerry Coakley & Marcus J. Chambers, 2015. "Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 630-649, September.
- Michael A. Thornton & Marcus J. Chambers, 2013. "Temporal aggregation in macroeconomics," Chapters,in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 13, pages 289-310 Edward Elgar Publishing.
- 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.
- 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.
- Chambers, MJ, 2016. "The Effects of Sampling Frequency on Detrending Methods for Unit Root Tests," Economics Discussion Papers 16062, University of Essex, Department of Economics.
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