DERIVING THE EXACT DISCRETE ANALOG OF A CONTINUOUS TIME SYSTEM

DOI10.1017/S0266466600166071zbMath0984.62095MaRDI QIDQ2716479

J. Roderick McCrorie

Publication date: 13 May 2002

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

continuous-time modelrandom measuresflow variablesstock variablesvector autoregressive moving averageexact discrete modelsVARMA-model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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