EconPapers    
Economics at your fingertips  
 

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
Note: AP EFG
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Published as John Cochrane, 2011. "Continuous-Time Linear Models," Foundations and Trends® in Finance, vol 6(3), pages 165-219.

Downloads: (external link)
http://www.nber.org/papers/w18181.pdf (application/pdf)

Related works:
Journal Article: Continuous-Time Linear Models (2012) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:18181

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w18181

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2025-03-19
Handle: RePEc:nbr:nberwo:18181