Consistent high-frequency calibration

DOI10.1016/j.jedc.2003.10.005zbMath1202.91216OpenAlexW3022777309MaRDI QIDQ953716

Kevin X. D. Huang, David Aadland

Publication date: 6 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2003.10.005

zbMATH Keywords

consistencycalibrationtemporal aggregationhigh frequencytransformation rule

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

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Cites Work

• Note on the Correlation of First Differences of Averages in a Random Chain
• Measurement of Linear Dependence and Feedback Between Multiple Time Series
• Intertemporal Preferences for Uncertain Consumption: A Continuous Time Approach
• Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
• An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications
• Optimal Growth with Intertemporally Dependent Preferences

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