Error Correction and Long-Run Equilibrium in Continuous Time

Recommendations

Erratum: Approximations of Equilibrium Problems
Payoff-dependent mistakes and \(q\)-resistant equilibrium
Self-correction of errors in discrete dynamic systems
Stability results for nonlinear error correction models
scientific article; zbMATH DE number 3900462
Dynamic properties of error correction models with a stochastic target series
Erratum to: ``A nonstandard characterization of sequential equilibrium, perfect equilibrium, and proper equilibrium

Cited in

(54)

Cointegrated continuous-time linear state-space and MCARMA models
STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER
Limit theory for high frequency sampled MCARMA models
THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION
Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme
MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS
Frequency domain estimation of temporally aggregated Gaussian cointegrated systems
Granger causality and the sampling of economic processes
Time series regression on integrated continuous-time processes with heavy and light tails
On the relationship between the theory of cointegration and the theory of phase synchronization
Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies
Forecasting discrete stock and flow data generated by a second order continuous time system
Continuous time ARMA processes: discrete time representation and likelihood evaluation
The impact of cointegration on commodity spread options
ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG
The estimation of continuous time models with mixed frequency data
Discrete time representation of stationary and non-stationary continuous time systems
Interpolating exogenous variables in continuous time dynamic models
Time-consistent mean-variance pairs-trading under regime-switching cointegration
Forecasting with equilibrium-correction models during structural breaks
Commodity derivatives pricing with cointegration and stochastic covariances
Discrete and continuous time cointegration
Identifying restrictions for finite parameter continuous time models with discrete time data
Estimation of continuous and discrete time co-integrated systems with stock and flow variables
Testing for cointegration with temporally aggregated and mixed-frequency time series
Mixed first- and second-order cointegrated continuous time models with mixed stock and flow data
Econometric modelling of climate systems: the equivalence of energy balance models and cointegrated vector autoregressions
Equilibrium pairs trading under delayed cointegration
Inference in continuous systems with mildly explosive regressors
Testing for a unit root in a near-integrated model with skip-sampled data
Financial crashes as endogenous jumps: estimation, testing and forecasting
Structural estimation of jump-diffusion processes in macroeconomics
A nonnested approach to testing continuous time models against discrete alternatives
REX BERGSTROM’S CONTRIBUTIONS TO CONTINUOUS TIME MACROECONOMETRIC MODELING
The exact discrete model of a third-order system of linear stochastic differential equations with observable stochastic trends
Frequency domain estimation of continuous time cointegrated models with mixed frequency and mixed sample data
Unit roots in white noise
Estimating dynamic equilibrium models using mixed frequency macro and financial data
Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
Identification and inference for multivariate cointegrated and ergodic Gaussian diffusions
Cointegration and sampling frequency
LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES
Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration
Nonparametric entropy-based tests of independence between stochastic processes
ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY
Time-consistent mean-variance hedging of longevity risk: effect of cointegration
Implementing residual-based KPSS tests for cointegration with data subject to temporal aggregation and mixed sampling frequencies
Aggregation over time, error correction models and Granger causality:
Testing cointegrating relationships using irregular and non-contemporaneous series with an application to paleoclimate data
Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data
A note on the embeddability conditions in the case of integrated CARMA (2, 1) stochastic process with single and double zero roots
Polar amplification in a moist energy balance model: a structural econometric approach to estimation and testing

This page was built for publication: Error Correction and Long-Run Equilibrium in Continuous Time

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5203540)