Continuous time modelling based on an exact discrete time representation
Year of publication: |
[2017]
|
---|---|
Authors: | Chambers, Marcus J. ; MacCrorie, J. Roderick ; Thornton, Michael A. |
Institutions: | University of Essex / Department of Economics (issuing body) |
Publisher: |
Colchester : [University of Essex, Department of Economics] |
Subject: | Continuous time | exact discrete time representation | stochastic differential equation | Gaussian estimation | identification | Granger causality | nonstationarity | mixed frequency data | computation | macroeconometric modelling | Stochastischer Prozess | Stochastic process | Theorie | Theory | Analysis | Mathematical analysis | Zeitreihenanalyse | Time series analysis |
Extent: | 1 Online-Ressource (circa 37 Seiten) |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Quasi-likelihood estimation of a threshold diffusion process
Su, Fei, (2015)
-
Testing for threshold diffusion
Su, Fei, (2017)
-
Forecasting dirty tanker freight rate index by using stochastic differential equations
Jafari, Hossein, (2018)
- More ...
-
The effects of sampling frequency on detrending methods for unit root tests
Chambers, Marcus J., (2016)
-
Identification and estimation of exchange rate models with unobservable fundamentals
Chambers, Marcus J., (2004)
-
Granger causality and the sampling of economic processes
MacCrorie, J. Roderick, (2004)
- More ...