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ArticleDiscrete and continuous time cointegration

Fabienne Comte1999

Article1999

Discrete and continuous time cointegration

35 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Time Series Analysis and Forecasting Diverse Scientific and Economic Studies

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References

1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1993Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data 1996Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data.2010Co-Integration and Error-Correction: Representation, Estimation, and Testing 1996Long memory continuous time models 1992Continuous Time Econometric Modelling.1991Error Correction and Long-Run Equilibrium in Continuous Time

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Year1999

Typearticle

Published1999-02-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations35

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/s0304-4076(98)00025-6

openalex_workW2010949536

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2022

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2011TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH*

2004Granger Causality and the Sampling of Economic Processes