Continuous-Time Models for Financial Time Series

2006 ◽  
pp. 759-783
Keyword(s):  
Time Series ◽  
Continuous Time ◽  
Financial Time Series ◽  
Financial Time ◽  
Continuous Time Models

ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG

2009 ◽  
Vol 25 (4) ◽  
pp. 1120-1137 ◽  
Author(s):  
J. Roderick McCrorie
Keyword(s):  
Time Series ◽  
Discrete Time ◽  
Continuous Time ◽  
Financial Time Series ◽  
Discrete Data ◽  
Discrete Analog ◽  
Continuous Time Model ◽  
Time Model ◽  
Financial Time ◽  
Time Modeling

This paper offers a perspective on A.R. Bergstrom’s contribution to continuous-time modeling, focusing on his preferred method of estimating the parameters of a structural continuous-time model using an exact discrete-time analog. Some inherent difficulties in this approach are discussed, which help to explain why, in spite of his prescience, the methods around his time were not universally adopted as he had hoped. Even so, it is argued that Bergstrom’s contribution and legacy is secure and retains some relevance today for the analysis of macroeconomic and financial time series.

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