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Continuous-Time Linear Models
Author(s):
Source:
Journal:Foundations and Trends® in Finance
ISSN Print:1567-2395, ISSN Online:1567-2409
Publisher:Now Publishers
Volume 6 Number 3,
Pages: 55 (165-219)
DOI: 10.1561/0500000037
Abstract: I translate familiar concepts of discrete-time time series to contnuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen–Sargent prediction formulas.
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