Continuous-Time Linear Models
34 Pages Posted: 14 Jun 2012 Last revised: 5 Sep 2012
There are 3 versions of this paper
Continuous-Time Linear Models
Chicago Booth Research Paper No. 12-27, Fama-Miller Working Paper
Number of pages: 34
Posted: 14 Jun 2012
Last Revised: 05 Sep 2012
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Continuous-Time Linear Models
NBER Working Paper No. w18181
Number of pages: 34
Posted: 22 Jun 2012
Last Revised: 06 Mar 2023
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100
Continuous-Time Linear Models
Foundations and Trends in Finance, Vol. 6, No. 3, 2011
Number of pages: 70
Posted: 23 May 2013
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1
Date Written: June 14, 2012
Abstract
I translate familiar concepts of discrete-time time-series to continuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas.
Keywords: continuous time linear models, ARMA, cointegration prediction
JEL Classification: C1
Suggested Citation: Suggested Citation
Cochrane, John H., Continuous-Time Linear Models (June 14, 2012). Chicago Booth Research Paper No. 12-27, Fama-Miller Working Paper, Available at SSRN: https://ssrn.com/abstract=2084437 or http://dx.doi.org/10.2139/ssrn.2084437
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