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Discrete and continuous time cointegration
8 references·9 citing·42 second hop
Discrete and continuous time cointegration (1999)Discrete and continuous time cointegrationCo-Integration and Error-Correction: Representation, Estimation, and Testing (2010)Co-Integration and Error-Corr…Long memory continuous time models (1996)Long memory continuous time m…Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data. (1996)Co-Integration, Error Correct…Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Co-integration, Error Correct…Continuous Time Econometric Modelling. (1992)Continuous Time Econometric M…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Error Correction and Long-Run Equilibrium in Continuous Time (1991)Error Correction and Long-Run…AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics (2022)Multi-asset Optimal Execution…Decentralised Finance and Automated Market Making: Execution and Speculation (2022)Decentralised Finance and Aut…TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH* (2011)TESTING UNCOVERED INTEREST PA…Cointegration and sampling frequency (2011)Cointegration and sampling fr…A cointegrated commodity pricing model (2011)A cointegrated commodity pric…ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY (2005)ESTIMATION OF COINTEGRATING V…Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions (2004)Identification and Inference …Granger Causality and the Sampling of Economic Processes (2004)Granger Causality and the Sam…Asymptotic Likelihood Based Inference for Co‐integrated Homogenous Gaussian Diffusions (2001)Asymptotic Likelihood Based I…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)THE POWER OF COINTEGRATION TESTS (1992)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Does financial development cause economic growth? Time-series evidence from 16 countries (1996)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)The Econometrics of Financial Markets (1997)A multivariate Ornstein-Uhlenbeck type stochastic volatility model (2009)The Econometrics of Financial Markets (2012)Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions (2013)Explicit form of approximate transition probability density functions of diffusion processes (2015)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Fractional Brownian Motions, Fractional Noises and Applications (1968)Some properties of time series data and their use in econometric model specification (1981)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)A long memory property of stock market returns and a new model (1993)An equilibrium characterization of the term structure (1977)Persistence in Intertrade Durations (1999)Long range dependence in financial markets (2005)Stochastic Integration and Differential Equations (2005)Long Memory and the Relation Between Implied and Realized Volatility (2006)Multiple Time Series Regression with Integrated Processes (1986)Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors (1987)Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Granger causality and the sampling of economic processes (2005)LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS (2009)Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance (2009)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Multivariate Stochastic Variance Models (1994)Spurious regression and residual-based tests for cointegration in panel data (1999)Informed Trading in Stock and Option Markets (2004)Gaussian Estimation of Single-Factor Continuous Time Models of The Term Structure of Interest Rates (1997)Temporal aggregation of volatility models (2003)Life Insurance Contracts with Embedded Options (2001)Return-Based and Range-Based (Co)Variance Estimation - with an Application to Foreign Exchange Markets (2002)Taking Time Seriously (2008)
this work references cited by second hop

References

  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1993Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data1,758 cited
  • 1996Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data.1,578 cited
  • 2010Co-Integration and Error-Correction: Representation, Estimation, and Testing489 cited
  • 1996Long memory continuous time models248 cited
  • 1992Continuous Time Econometric Modelling.165 cited
  • 1991Error Correction and Long-Run Equilibrium in Continuous Time139 cited

Cited by

  • 2001Asymptotic Likelihood Based Inference for Co‐integrated Homogenous Gaussian Diffusions47 cited
  • 2004Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions39 cited
  • 2011Cointegration and sampling frequency31 cited
  • 2022Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics27 cited
  • 2011A cointegrated commodity pricing model24 cited
  • 2022Decentralised Finance and Automated Market Making: Execution and Speculation24 cited

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  • 2011TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH*17 cited
  • 2004Granger Causality and the Sampling of Economic Processes16 cited
  • 2005ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY9 cited