This list contains references from the content that can be linked to their source. For a full set of references and notes please see the PDF or HTML where available.
J.M. Abowd & D. Card (1989) On the covariance structure of earnings and hours changes. Econometrica 57, 411–445.
A.R. Bergstrom (1983) Gaussian estimation of structural parameters in higher order continuous time dynamic models. Econometrica 51, 117–152.
A.R. Bergstrom (1984) Continuous time stochastic models and issues of aggregation over time. In Z. Griliches & M.D. Intriligator (eds.), Handbook of Econometrics, vol. 2, pp. 1145–1212. North-Holland.
P.A. Brockwell (2001) Lévy-driven CARMA processes. Annals of the Institute of Statistical Mathematics 53, 113–124.
P.A. Brockwell (2004) Representations of continuous-time ARMA processes. Journal of Applied Probability 41A, 375–382.
M.J. Chambers (1999) Discrete time representation of stationary and non-stationary continuous time systems. Journal of Economic Dynamics and Control 23, 619–639.
L.J. Christiano , M. Eichenbaum , & D.A. Marshall (1991) The permanent income hypothesis revisited. Econometrica 59, 397–423.
A. Deaton (1992) Understanding Consumption. Oxford University Press.
A.C. Harvey & J.H. Stock (1988) Continuous time autoregressive models with common stochastic trends. Journal of Economic Dynamics and Control 12, 365–384.
J. Heaton (1993) The interaction between time non-separable preferences and time aggregation. Econometrica 61, 353–385.
H. Lütkepohl (2005) New Introduction to Multiple Time Series Analysis. Springer-Verlag.
T.E. MaCurdy (1982) The use of time series processes to model the error structure of earnings in a longitudinal data analysis. Journal of Econometrics 18, 83–114.
K.B. Nowman (1997) Gaussian estimation of single-factor continuous time models of the term structure of interest rates. Journal of Finance 52, 1695–1706.
K.B. Nowman (1998) Continuous-time short term interest rate models. Applied Financial Economics 8, 401–407.
J.Y. Park & M. Jeong (2010) Asymptotic Theory of Maximum Likelihood Estimator for Diffusion Model. Manuscript, Indiana University.
M.S. Phadke & S.M. Wu (1974) Modeling of continuous stochastic processes from discrete observations with application to sunspots data. Journal of the American Statistical Association 69, 325–329.
P.C.B. Phillips (1991) Error correction and long-run equilibrium in continuous time. Econometrica 59, 967–980.
P.C.B. Phillips & J. Yu (2009) Maximum likelihood and Gaussian estimation of continuous time models in finance. In T.G. Anderson , R.A. Davis , J.P. Kreiss , & T. Mikosch (eds.), Handbook of Financial Time Series, pp. 497–530. Springer-Verlag.
J.-S. Pischke (1995) Individual income, incomplete information, and aggregate consumption. Econometrica 63, 805–840.
O. Vasicek (1977) An equilibrium characterization of the term structure. Journal of Financial Economics 5, 177–188.
H. Working (1960) Note on the correlation of first differences of averages in a random chain. Econometrica 28, 916–918.