Continuous Time Modelling Based on an Exact Discrete Time Representation

Author:

Chambers Marcus J.,McCrorie J. Roderick,Thornton Michael A.

Publisher

Springer International Publishing

Reference104 articles.

1. Aït-Sahalia, Y. (2007). Estimating continuous time models using discretely sampled data. In R. Blundell, T. Persson, & W. K. Newey (Eds.), Advances in economics and econometrics, theory and applications, ninth world congress of the econometric society. Cambridge: Cambridge University Press.

2. Aït-Sahalia, Y., & Jacod, J. (2014). High-frequency financial econometrics. Princeton: Princeton University Press.

3. Bergstrom, A. R. (1966). Non-recursive models as discrete approximations to systems of stochastic differential equations. Econometrica, 34, 173–182. https://doi.org/10.2307/1909861

4. Bergstrom, A. R. (1967). The construction and use of economic models. London: English Universities Press.

5. Bergstrom, A. R. (1983). Gaussian estimation of structural parameters in higher order continuous time dynamic models. Econometrica, 51, 117–152. https://doi.org/10.2307/1912251

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