Aggregation and memory of models of changing volatility

DOI10.1016/J.JECONOM.2006.03.002MaRDI QIDQ278251zbMATH OpenOpenAlexFDO

Authors Paolo Zaffaroni

Publication date 2 May 2016

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

Full work available at URL http://hdl.handle.net/10044/1/645

zbMATH Keywords

long memorystochastic volatilitycontemporaneous aggregation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

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• Contemporaneous aggregation of GARCH processes
• Contemporaneous aggregation of linear dynamic models in large economies
• Generalized autoregressive conditional heteroscedasticity
• Log-periodogram regression of time series with long range dependence
• Long memory relationships and the aggregation of dynamic models
• Marginalization and contemporaneous aggregation in multivariate GARCH processes
• Nonlinear time series with long memory: A model for stochastic volatility
• On a Method of Calculation of Semi-Invariants
• Stability of random coefficient ARCH models and aggregation schemes
• Temporal aggregation of volatility models
• The detection and estimation of long memory in stochastic volatility
• The memory of stochastic volatility models
• Varieties of long memory models

Cited in

(17)

• Joint aggregation of random-coefficient AR(1) processes with common innovations
• Limit theorems for aggregated linear processes
• Sample covariances of random-coefficient AR(1) panel model
• Contemporaneous aggregation of GARCH processes
• Stability conditions for heteroscedastic factor models with conditionally autoregressive betas
• Exploring the financial risk of a temperature index: a fractional integrated approach
• The memory of stochastic volatility models
• Aggregation of the random coefficient GLARCH(1,1) process
• Aggregation of random-coefficient AR(1) process with infinite variance and common innovations
• Aggregation of autoregressive random fields and anisotropic long-range dependence
• Anisotropic scaling limits of long-range dependent random fields
• Temporal aggregation of volatility models
• Asymptotic behavior of weakly dependent aggregated processes
• From short to long memory: aggregation and estimation
• Aggregation of a random-coefficient AR(1) process with infinite variance and idiosyncratic innovations
• Aggregation, Persistence and Volatility in a Macro Model
• Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes

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