Continuous-Time Linear Models

1. Auflage 2012
ISBN: 978-1-60198-586-6
Verlag: Now Publishers

Buch, Englisch, Band 22, 64 Seiten, Format (B × H): 156 mm x 234 mm

Reihe: Foundations and Trends® in Finance

Discrete-time linear ARMA processes and lag operator notation are convenient for lots of calculations. Continuous-time representations often simplify economic models, and can handle interesting nonlinearities as well. But standard treatments of continuous-time processes typically don't mention how to adapt the discrete-time linear model concepts and lag operator methods to continuous time. Continuous-Time Linear Models attempts that translation and exposits the techniques to make the translation from familiar discrete-time ideas. The concluding section of this monograph collects the important formulas in one place. The author assumes a basic knowledge of discrete-time time-series representation methods and continuous-time representations.

Autoren/Hrsg.

Cochrane, John

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Unternehmensfinanzierung
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen

Inhaltsverzeichnis

Introduction. Linear Models and Lag Operators. Moving Average Representation and Moments. ARMA Models. Differences. Impulse-response Function. Hansen-Sargent formulas. Integration and Cointegration. Summary. References