Temporal aggregation of multivariate GARCH processes

DOI10.1016/j.jeconom.2007.08.001zbMath1418.62326OpenAlexW2030576006MaRDI QIDQ290974

Christian M. Hafner

Publication date: 3 June 2016

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

Full work available at URL: http://repec.org/esNAWM04/up.4970.1049224719.pdf

zbMATH Keywords

temporal aggregationmultivariate GARCHweak GARCH

Mathematics Subject Classification ID

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

Related Items (13)

Temporal aggregation and systematic sampling for INGARCH processes ⋮ The use of aggregate time series for testing conditional heteroscedasticity ⋮ A closed-form estimator for the multivariate GARCH(1,1) model ⋮ WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS ⋮ A practical multivariate approach to testing volatility spillover ⋮ Testing conditional heteroscedasticity with systematic sampling of time series ⋮ Two‐Step Estimation for Time Varying Arch Models ⋮ Aggregation and marginalization of GARCH processes: some further results ⋮ Causality and forecasting in temporally aggregated multivariate GARCH processes ⋮ Estimation of temporally aggregated multivariate GARCH models ⋮ Method of moments estimation of GO-GARCH models ⋮ SPLINE ESTIMATION OF A SEMIPARAMETRIC GARCH MODEL ⋮ A spectral measure for the information loss of temporal aggregation

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