The estimation of continuous time models with mixed frequency data
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Cites work
- An exact discrete analog of an open linear non-stationary first-order continuous-time system with mixed sample
- Cointegrating regressions with messy regressors and an application to mixed-frequency series
- Cointegration and sampling frequency
- Computing estimates of continuous time macroeconometric models on the basis of discrete data
- Computing integrals involving the matrix exponential
- DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES
- DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
- Error Correction and Long-Run Equilibrium in Continuous Time
- Estimation of vector error correction models with mixed-frequency data
- Frequency domain estimation of temporally aggregated Gaussian cointegrated systems
- Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models
- scientific article; zbMATH DE number 3949563 (Why is no real title available?)
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- MIDAS Regressions: Further Results and New Directions
- Mixed-frequency vector autoregressive models
- Note on the Correlation of First Differences of Averages in a Random Chain
- On the size distortion from linearly interpolating low-frequency series for cointegration tests
- Predicting volatility: getting the most out of return data sampled at different frequencies
- Regression models with mixed sampling frequencies
- Testing for cointegration with temporally aggregated and mixed-frequency time series
- The estimation of systems of joint differential-difference equations
Cited in
(25)- Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
- Continuous time ARMA processes: discrete time representation and likelihood evaluation
- An extension of stochastic volatility model with mixed frequency information
- The likelihood of the parameters of a continuous time vector autoregressive model
- Estimation of continuous and discrete time co-integrated systems with stock and flow variables
- Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data
- A mixed frequency approach for stock returns and valuation ratios
- Econometric modeling at mixed frequencies
- Estimating dynamic equilibrium models using mixed frequency macro and financial data
- Multivariate AR systems and mixed frequency data: G-identifiability and estimation
- DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
- Mixed effect models for absolute log returns of ultra high frequency data
- 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
- Mixed first- and second-order cointegrated continuous time models with mixed stock and flow data
- Model estimation, prediction, and signal extraction for nonstationary stock and flow time series observed at mixed frequencies
- The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
- Comments on `Fitting continuous-time and discrete-time models using discrete-time data and their application'
- Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series
- Interpolating exogenous variables in continuous time dynamic models
- On model selection criteria for climate change impact studies
- The optimal strategy of the dynamic mean-variance problem for pairs trading with a common stochastic factor
- Retrieval from mixed sampling frequency: generic identifiability in the unit root VAR
- Macroeconomics and the reality of mixed frequency data
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