Aggregation and marginalization of GARCH processes: some further results

DOI10.1007/BF03321973MaRDI QIDQ478343zbMATH OpenFDO

Authors Giacomo Sbrana

Publication date 3 December 2014

Published in Metron (Search for Journal in Brave)

zbMATH Keywords

aggregationGARCH

Mathematics Subject Classification ID

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

Recommendations

• Marginalization and contemporaneous aggregation in multivariate GARCH processes
• GARCH processes: structure and estimation
• Contemporaneous aggregation of GARCH processes
• Temporal aggregation of multivariate GARCH processes
• Aggregation in ARCH models

Cites work

• ARMA representation of integrated and realized variances
• Contemporaneous aggregation of GARCH processes
• Marginalization and contemporaneous aggregation in multivariate GARCH processes
• Temporal Aggregation of Garch Processes
• Temporal aggregation of multivariate GARCH processes
• Temporal aggregation of volatility models
• Time series analysis and simultaneous equation econometric models

Cited in

(3)

• Contemporaneous aggregation of GARCH processes
• Aggregation in ARCH models
• Temporal Aggregation of Garch Processes

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