Causality and forecasting in temporally aggregated multivariate GARCH processes

DOI10.1111/j.1368-423X.2008.00276.xzbMath1190.62170MaRDI QIDQ3566442

Christian M. Hafner

Publication date: 8 June 2010

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

zbMATH Keywords

realized volatilitytemporal aggregationmultivariate GARCHvolatility forecastscausality in variance

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Temporal aggregation of multivariate GARCH processes ⋮ A general property for time aggregation

Cites Work

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