A general property for time aggregation

DOI10.1016/j.ejor.2019.12.045zbMath1487.62104OpenAlexW3000188354WikidataQ126376161 ScholiaQ126376161MaRDI QIDQ2030709

Johannes Rauch, Carol Alexander

Publication date: 7 June 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://sro.sussex.ac.uk/id/eprint/89186/1/EJOR_2020.pdf

zbMATH Keywords

risk premiatime aggregationhigher momentsaggregation propertyunbiased and efficient estimators

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

The use of aggregate time series for testing conditional heteroscedasticity ⋮ The continuous limit of weak GARCH

Cites Work

• Optimal combination forecasts for hierarchical time series
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• Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• Matrix Analysis
• Arithmetic variance swaps
• Prices and Asymptotics for Discrete Variance Swaps
• Optimal positioning in derivative securities
• Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes

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