Timeline for Which references would be useful as an introduction to econometrics as it pertains to CONTINUOUS TIME models?
Current License: CC BY-SA 4.0
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| Nov 1, 2020 at 13:39 | comment | added | mark leeds | @fesman: I'm definitely no expert myself. I am just familiar with bergstrom from when I was looking at what happens when one starts aggregating time series ( say daily to weekly for example ). He's got a textbook that I have and, at a glance, it looks somewhat readable. Of course, the term readable is always in the eyes of the holder. :). | |
| Oct 31, 2020 at 20:13 | comment | added | fes | Sure there are applications. Continuous time can be more convenient with some HF models. Also term structure models are often postulated in continuous time and estimated using historical time series. I might be wrong but my sense is that GARCH options pricing models are not widely used in practice. | |
| Oct 31, 2020 at 16:59 | comment | added | Stéphane | @fesman My experience with option pricing models has mostly been with GARCH models and, in this literature, people usually use a joint likelihood: a Gaussian likelihood in the implied volatility space plus whatever distribution is adequate in the time series space. Some people will prefer to use the time series only to estimate the dynamics under P and will use the IV in a second step to estimate the parameters of the pricing kernel (so, to convert to Q). But I am not used at all to continuous time models and their estimation. | |
| Oct 31, 2020 at 14:38 | comment | added | fes | @markleeds Thanks for adding. I am not an expert on this field, but did some readings few years back. | |
| Oct 31, 2020 at 14:17 | comment | added | mark leeds | bergstrom is definitely the person when it comes to continuous time econometrics. But I can't say that I've ever tried to read his material. The references here or the paper itself might be useful. link.springer.com/chapter/10.1007/978-1-349-20865-4_5 | |
| Oct 31, 2020 at 12:23 | history | edited | fes | CC BY-SA 4.0 | added 104 characters in body |
| Oct 31, 2020 at 9:39 | history | edited | fes | CC BY-SA 4.0 | deleted 3 characters in body |
| Oct 31, 2020 at 9:28 | history | answered | fes | CC BY-SA 4.0 |