The Exact Discretisation of CARMA Models with Applications in Finance

Thornton, Michael Alan orcid.org/0000-0002-4470-809X and Chambers, Marcus (2016) The Exact Discretisation of CARMA Models with Applications in Finance. Journal of empirical finance. 739 - 761. ISSN 0927-5398

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Copyright, Publisher and Additional Information: © 2016 Elsevier B.V. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details. Embargo period: 18 months
Keywords: Continuous time ARMA process; discrete time representation; present value; term structure.
Dates:
  • Accepted: 18 March 2016
  • Published (online): 31 March 2016
  • Published: September 2016
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York)
Depositing User: Pure (York)
Date Deposited: 20 Apr 2016 09:14
Last Modified: 20 May 2020 23:14
Published Version: https://doi.org/10.1016/j.jempfin.2016.03.006
Status: Published
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.jempfin.2016.03.006

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