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Continuous-Time Linear Models

  • John H. Cochrane

I 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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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 18181.

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Date of creation: Jun 2012
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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.
Handle: RePEc:nbr:nberwo:18181
Note: AP EFG
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