The exact discretisation of CARMA models with applications in finance
Year of publication: |
September 2016
|
---|---|
Authors: | Thornton, Michael A. ; Chambers, Marcus J. |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 38.2016, Part B, p. 739-761
|
Subject: | Continuous time ARMA process | Discrete time representation | Present value | Term structure | Zeitreihenanalyse | Time series analysis | Zinsstruktur | Yield curve | ARMA-Modell | ARMA model | Schätztheorie | Estimation theory |
-
Credit spread modeling : macro-financial versus HOC approach
Dudaković, Sanja, (2014)
-
Forecasting long term UK interest rates
Gough, O., (2014)
-
Unit root vector autoregression with volatility induced stationarity
Bohn Nielsen, Heino, (2014)
- More ...
-
Thornton, Michael A., (2013)
-
Temporal aggregation in macroeconomics
Thornton, Michael A.,
-
DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES
Chambers, Marcus J., (2012)
- More ...