Aggregation and memory of models of changing volatility

DOI10.1016/j.jeconom.2006.03.002zbMath1418.62360OpenAlexW1978850860MaRDI QIDQ278251

Paolo Zaffaroni

Publication date: 2 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10044/1/645

zbMATH Keywords

stochastic volatilitylong memorycontemporaneous aggregation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (13)

Aggregation of random-coefficient AR(1) process with infinite variance and common innovations ⋮ Joint aggregation of random-coefficient AR(1) processes with common innovations ⋮ Asymptotic behavior of weakly dependent aggregated processes ⋮ Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes ⋮ From short to long memory: aggregation and estimation ⋮ AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS ⋮ Aggregation of a random-coefficient ar(1) process with infinite variance and idiosyncratic innovations ⋮ Sample covariances of random-coefficient AR(1) panel model ⋮ Aggregation of autoregressive random fields and anisotropic long-range dependence ⋮ Exploring the financial risk of a temperature index: a fractional integrated approach ⋮ Anisotropic scaling limits of long-range dependent random fields ⋮ Limit Theorems for Aggregated Linear Processes ⋮ Stability conditions for heteroscedastic factor models with conditionally autoregressive betas

Cites Work

• Long memory relationships and the aggregation of dynamic models
• Nonlinear time series with long memory: A model for stochastic volatility
• The detection and estimation of long memory in stochastic volatility
• Generalized autoregressive conditional heteroscedasticity
• Log-periodogram regression of time series with long range dependence
• Marginalization and contemporaneous aggregation in multivariate GARCH processes
• Varieties of long memory models
• Temporal aggregation of volatility models
• Contemporaneous aggregation of linear dynamic models in large economies
• Stability of random coefficient ARCH models and aggregation schemes
• On a Method of Calculation of Semi-Invariants
• Contemporaneous aggregation of GARCH processes
• The memory of stochastic volatility models
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Aggregation and memory of models of changing volatility