Noncausality in Continuous Time
نویسندگان
چکیده
منابع مشابه
Noncausality and inflation persistence
We use noncausal autoregressions to examine the persistence properties of quarterly U.S. consumer price inflation from 1970:1—2012:2. These nonlinear models capture the autocorrelation structure of the inflation series as accurately as their conventional causal counterparts, but they allow for persistence to depend on the size and sign of shocks to inflation as well as the inflation rate. Infla...
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this paper presents dynamic portfolio model based on the merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. this paper is extended version of methodological paper published by yuan yao (2012) cite{26}. because of the long history of the development of foreign financial market, with a variety of financial derivatives, the ...
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ژورنال
عنوان ژورنال: Econometrica
سال: 1996
ISSN: 0012-9682
DOI: 10.2307/2171962