1 option
Continuous-Time Linear Models / John H. Cochrane.
- Format:
- Book
- Author/Creator:
- Cochrane, John H.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w18181.
- NBER working paper series no. w18181
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2012.
- Summary:
- 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.
- Notes:
- Print version record
- June 2012.
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