Temporal Aggregation of Garch Processes (Q3142744)

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Temporal Aggregation of Garch Processes
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    Temporal Aggregation of Garch Processes (English)
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    6 January 1994
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    GARCH models
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    temporal aggregation
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    financial time-series
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    ARMA models
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    low frequency models
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    conditional heteroskedasticity
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    conditional variance equation
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    mean
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    variance
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    kurtosis
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    high frequency model
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    strongly consistent estimators
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