Discrete and continuous time cointegration

DOI10.1016/S0304-4076(98)00025-6zbMath1070.62523OpenAlexW2010949536MaRDI QIDQ1305667

Fabienne Comte

Publication date: 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00025-6

zbMATH Keywords

Unit rootsCointegrationContinuous time processes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (11)

Cointegration in continuous time for factor models ⋮ Limit Theory for High Frequency Sampled MCARMA Models ⋮ Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics ⋮ Cointegrated continuous-time linear state-space and MCARMA models ⋮ Asymptotic F test in regressions with observations collected at high frequency over long span ⋮ Cointegration and sampling frequency ⋮ TIME SERIES REGRESSION ON INTEGRATED CONTINUOUS-TIME PROCESSES WITH HEAVY AND LIGHT TAILS ⋮ Estimation of continuous and discrete time co-integrated systems with stock and flow variables ⋮ ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY ⋮ STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER ⋮ On non-stationary solutions to MSDDEs: representations and the cointegration space

Cites Work

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• On continuous-time threshold ARMA processes
• Long memory continuous time models
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Error Correction and Long-Run Equilibrium in Continuous Time
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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