Details about Michael Alan Thornton

Access statistics for papers by Michael Alan Thornton.

Last updated 2024-04-08. Update your information in the RePEc Author Service.

Short-id: pth212

Working Papers

2016

1. Continuous Time ARMA Processes: Discrete Time Representation and Likelihood Evaluation
   Discussion Papers, Department of Economics, University of York View citations (3)
   See also Journal Article Continuous time ARMA processes: Discrete time representation and likelihood evaluation, Journal of Economic Dynamics and Control, Elsevier (2017) View citations (10) (2017)

Journal Articles

2019

1. Exact Discrete Representations of Linear Continuous Time Models with Mixed Frequency Data
   Journal of Time Series Analysis, 2019, 40, (6), 951-967 View citations (2)

2017

2. Continuous time ARMA processes: Discrete time representation and likelihood evaluation
   Journal of Economic Dynamics and Control, 2017, 79, (C), 48-65 View citations (10)
   See also Working Paper Continuous Time ARMA Processes: Discrete Time Representation and Likelihood Evaluation, Discussion Papers (2016) View citations (3) (2016)

2016

3. The exact discretisation of CARMA models with applications in finance
   Journal of Empirical Finance, 2016, 38, (PB), 739-761 View citations (3)

2014

4. The aggregation of dynamic relationships caused by incomplete information
   Journal of Econometrics, 2014, 178, (P2), 342-351 View citations (1)

2013

5. Continuous-time autoregressive moving average processes in discrete time: representation and embeddability
   Journal of Time Series Analysis, 2013, 34, (5), 552-561 View citations (3)
6. Removing seasonality under a changing regime: Filtering new car sales
   Computational Statistics & Data Analysis, 2013, 58, (C), 4-14 View citations (1)

2012

7. DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES
   Econometric Theory, 2012, 28, (1), 219-238 View citations (14)

Edited books

2021

1. Handbook of Research Methods and Applications in Empirical Microeconomics
   Books, Edward Elgar Publishing View citations (1)

2013

2. Handbook of Research Methods and Applications in Empirical Macroeconomics
   Books, Edward Elgar Publishing View citations (120)

Chapters

2013

1. A review of econometric concepts and methods for empirical macroeconomics
   Chapter 2 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 4-42
2. Introduction
   Chapter 1 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 1-3 View citations (1)
3. Temporal aggregation in macroeconomics
   Chapter 13 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 289-310 View citations (2)