NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Continuous-Time Linear Models

John H. Cochrane

NBER Working Paper No. 18181
Issued in June 2012
NBER Program(s):   AP   EFG

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.

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Document Object Identifier (DOI): 10.3386/w18181

Published: Cochrane, John H., 2012. "Continuous-Time Linear Models," Foundations and Trends(R) in Finance, now publishers, vol. 6(3), pages 165-219, November. citation courtesy of

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