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Continuous-Time Linear Models

Author

Listed:
  • Cochrane, John H.
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.

Suggested Citation

  • Cochrane, John H., 2012. "Continuous-Time Linear Models," Foundations and Trends(R) in Finance, now publishers, vol. 6(3), pages 165-219, November.
    • Handle: RePEc:now:fntfin:0500000037
    DOI: 10.1561/0500000037
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    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. What I Learned Last Week
      by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-10-13 09:19:00

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    Cited by:

    1. Gustavo F. Dias & Marcelo Fernandes & Cristina M. Scherrer, 2021. "Price Discovery in a Continuous-Time Setting [Price Discovery and Common Factor Models]," Journal of Financial Econometrics, Oxford University Press, vol. 19(5), pages 985-1008.

    More about this item

    Keywords

    Dynamic corporate finance; Structural empirical methods; Dynamic capital structure models;
    All these keywords.

    JEL classification:

    • G3 - Financial Economics - - Corporate Finance and Governance
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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