Continuous-Time Linear Models
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.
Document Object Identifier (DOI): 10.3386/w18181
Published: John Cochrane, 2011. "Continuous-Time Linear Models," Foundations and Trends® in Finance, vol 6(3), pages 165-219.
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