Continuous-Time Linear Models

John Cochrane

Foundations and Trends(R) in Finance, 2012, vol. 6, issue 3, 165-219

Abstract: I translate familiar concepts of discrete-time time series to contnuoustime equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen–Sargent prediction formulas.

Keywords: Dynamic corporate finance; Structural empirical methods; Dynamic capital structure models (search for similar items in EconPapers)
JEL-codes: C58 G3 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Working Paper: Continuous-Time Linear Models (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:now:fntfin:0500000037

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