The History of Continuous-Time Econometric Models
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- Das, Sanjiv R., 2002. "The surprise element: jumps in interest rates," Journal of Econometrics, Elsevier, vol. 106(1), pages 27-65, January.
- 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.
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"Fully Nonparametric Estimation of Scalar Diffusion Models,"
Econometric Society, vol. 71(1), pages 241-283, January.
- Federico M. Bandi & Peter C.B. Phillips, 2001. "Fully Nonparametric Estimation of Scalar Diffusion Models," Cowles Foundation Discussion Papers 1332, Cowles Foundation for Research in Economics, Yale University.
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- Peter Fuleky, 2011. "On the Choice of the Unit Period in Time Series Models," Working Papers 201111, University of Hawaii at Manoa, Department of Economics.
- 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.
- 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.
- repec:spr:aistmt:v:70:y:2018:i:2:d:10.1007_s10463-017-0601-5 is not listed on IDEAS
- 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.
- 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.
- Peter C. B. Phillips & Jun Yu, 2005. "Comments on Ã¢â‚¬Å“A selective overview of nonparametric methods in financial econometricsÃ¢â‚¬Â," Finance Working Papers 22469, East Asian Bureau of Economic Research.
- 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.).
- 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.
- Villaplana Conde, Pablo & Peña Sánchez de Rivera, Juan Ignacio & Escribano Sáez, Álvaro, 2002. "Modeling electricity prices: international evidence," UC3M Working papers. Economics we022708, Universidad Carlos III de Madrid. Departamento de Economía.
- 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.
- 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.
- 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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