Temporal Aggregation of Garch Processes

DOI10.2307/2951767zbMath0780.62099OpenAlexW3124263521MaRDI QIDQ3142744

Feike C. Drost, Theo E. Nijman

Publication date: 6 January 1994

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2951767

zbMATH Keywords

meanvarianceconditional heteroskedasticitykurtosisARMA modelsGARCH modelstemporal aggregationstrongly consistent estimatorsfinancial time-serieshigh frequency modelconditional variance equationlow frequency models

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)

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