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Continuous time ARMA processes : discrete time representation and likelihood evaluation
Thornton, Michael A.; Chambers, Marcus J. - 2016
Persistent link: https://www.econbiz.de/10011538144
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Discrete time representation of continuous time ARMA processes
Chambers, Marcus J.; Thornton, Michael A. - In: Econometric theory 28 (2012) 1, pp. 219-238
Persistent link: https://www.econbiz.de/10009520954
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The exact discretisation of CARMA models with applications in finance
Thornton, Michael A.; Chambers, Marcus J. - In: Journal of empirical finance 38 (2016), pp. 739-761
Persistent link: https://www.econbiz.de/10011663785
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Continuous time ARMA processes : discrete time representation and likelihood evaluation
Thornton, Michael A.; Chambers, Marcus J. - In: Journal of economic dynamics & control 79 (2017), pp. 48-65
Persistent link: https://www.econbiz.de/10011817599