Continuous-Time Linear Models
John Cochrane ()
No 18181, NBER Working Papers from National Bureau of Economic Research, Inc
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)
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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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Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:18181
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