Continuous-Time Linear Models

John Cochrane

No 18181, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: C01 C5 C58 E17 G17 (search for similar items in EconPapers)
Date: 2012-06
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
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Published as John Cochrane, 2011. "Continuous-Time Linear Models," Foundations and Trends® in Finance, vol 6(3), pages 165-219.

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Journal Article: Continuous-Time Linear Models (2012)
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