Aggregation and marginalization of GARCH processes: some further results
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Publication:478343
DOI10.1007/BF03321973zbMath1302.62200MaRDI QIDQ478343
Publication date: 3 December 2014
Published in: Metron (Search for Journal in Brave)
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Temporal aggregation of multivariate GARCH processes
- Time series analysis and simultaneous equation econometric models
- Marginalization and contemporaneous aggregation in multivariate GARCH processes
- Temporal aggregation of volatility models
- Temporal Aggregation of Garch Processes
- ARMA representation of integrated and realized variances
- Contemporaneous aggregation of GARCH processes
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