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The History of Continuous-Time Econometric Models

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  • Bergstrom, A. R.

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  • Bergstrom, A. R., 1988. "The History of Continuous-Time Econometric Models," Econometric Theory, Cambridge University Press, vol. 4(03), pages 365-383, December.
  • Handle: RePEc:cup:etheor:v:4:y:1988:i:03:p:365-383_01
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    Cited by:

    1. Das, Sanjiv R., 2002. "The surprise element: jumps in interest rates," Journal of Econometrics, Elsevier, vol. 106(1), pages 27-65, January.
    2. Peter Robinson, 2007. "On Discrete Sampling Of Time-Varyingcontinuous-Time Systems," STICERD - Econometrics Paper Series 520, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    3. 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.
    4. Federico M. Bandi & Peter C. B. Phillips, 2003. "Fully Nonparametric Estimation of Scalar Diffusion Models," Econometrica, Econometric Society, vol. 71(1), pages 241-283, January.
    5. J. Oud, 2010. "Second-order stochastic differential equation model as an alternative for the ALT and CALT models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 94(2), pages 203-215, June.
    6. 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.
    7. Tucker McElroy, 2013. "Forecasting continuous-time processes with applications to signal extraction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(3), pages 439-456, June.
    8. Sy-Miin Chow & Guangjian Zhang, 2008. "Continuous-time modelling of irregularly spaced panel data using a cubic spline model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 62(1), pages 131-154.
    9. repec:spr:aistmt:v:70:y:2018:i:2:d:10.1007_s10463-017-0601-5 is not listed on IDEAS
    10. 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.
    11. 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.
    12. Peter C. B. Phillips & Jun Yu, 2005. "Comments on “A selective overview of nonparametric methods in financial econometricsâ€Â," Finance Working Papers 22469, East Asian Bureau of Economic Research.
    13. 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.).
    14. Alvaro Escribano & J. Ignacio Peña & 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.
    15. Robinson, Peter, 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.
    16. Marc J. M. H. Delsing & Johan H. L. Oud, 2008. "Analyzing reciprocal relationships by means of the continuous-time autoregressive latent trajectory model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 62(1), pages 58-82.
    17. 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.

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