Temporal aggregation of random walk processes and implications for economic analysis

DOI10.1515/snde-2017-0102OpenAlexW2973586549MaRDI QIDQ2697076

Ivan Paya, Yamin S. Ahmad

Publication date: 17 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2017-0102

zbMATH Keywords

conditional heteroskedasticityrandom walkvariance ratiotemporal aggregation

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Testing for exuberance in house prices using data sampled at different frequencies

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