DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA

DOI10.1017/S0266466608090397zbMath1253.62075MaRDI QIDQ3181960

Marcus J. Chambers

Publication date: 30 September 2009

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Related Items (7)

Continuous time ARMA processes: discrete time representation and likelihood evaluation ⋮ DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES ⋮ Mixed First‐ and Second‐Order Cointegrated Continuous Time Models with Mixed Stock and Flow Data ⋮ Continuous‐time autoregressive moving average processes in discrete time: representation and embeddability ⋮ Cointegration and sampling frequency ⋮ The estimation of continuous time models with mixed frequency data ⋮ Estimation of continuous and discrete time co-integrated systems with stock and flow variables

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