DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA

DOI10.1017/S0266466608090397zbMath1253.62075MaRDI QIDQ3181960

Marcus J. Chambers

Publication date: 30 September 2009

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

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

Mixed First‐ and Second‐Order Cointegrated Continuous Time Models with Mixed Stock and Flow Data, Continuous‐time autoregressive moving average processes in discrete time: representation and embeddability, The estimation of continuous time models with mixed frequency data, Continuous time ARMA processes: discrete time representation and likelihood evaluation, Estimation of continuous and discrete time co-integrated systems with stock and flow variables, Cointegration and sampling frequency, DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES

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