The estimation of continuous time models with mixed frequency data
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Publication:726594
DOI10.1016/j.jeconom.2016.04.013zbMath1431.62359OpenAlexW2346491143MaRDI QIDQ726594
Publication date: 12 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.04.013
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (7)
Continuous time ARMA processes: discrete time representation and likelihood evaluation ⋮ Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data ⋮ On model selection criteria for climate change impact studies ⋮ Estimation of continuous and discrete time co-integrated systems with stock and flow variables ⋮ Econometric Modelling with Mixed Frequency and Temporally Aggregated Data ⋮ Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data ⋮ Exact Discrete Representations of Linear Continuous Time Models with Mixed Frequency Data
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