Contemporaneous aggregation of GARCH processes
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Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cites work
- Aggregation in ARCH models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Contemporaneous aggregation of GARCH processes
- Contemporaneous aggregation of linear dynamic models in large economies
- Empirical modeling of exchange rate dynamics
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 42272 (Why is no real title available?)
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- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 3223982 (Why is no real title available?)
- Linear Regression Limit Theory for Nonstationary Panel Data
- Long memory relationships and the aggregation of dynamic models
- Marginalization and contemporaneous aggregation in multivariate GARCH processes
- Modeling volatility persistence of speculative returns: a new approach
- Stability of random coefficient ARCH models and aggregation schemes
- STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELS
- Temporal Aggregation of Garch Processes
- Temporal aggregation of volatility models
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- The sample autocorrelations of heavy-tailed processes with applications to ARCH
- Time series: theory and methods
- Volatility and Links between National Stock Markets
Cited in
(17)- Near-integrated GARCH sequences
- Marginalization and contemporaneous aggregation in multivariate GARCH processes
- Asymptotic behavior of weakly dependent aggregated processes
- Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
- Factor representing portfolios in large asset markets
- From short to long memory: aggregation and estimation
- Aggregation and memory of models of changing volatility
- Limit theorems for aggregated linear processes
- Aggregation of the random coefficient GLARCH(1,1) process
- Causality and forecasting in temporally aggregated multivariate GARCH processes
- Asymptotic normality of the mixture density estimator in a disaggregation scheme
- Aggregation of a random-coefficient AR(1) process with infinite variance and idiosyncratic innovations
- Aggregation and marginalization of GARCH processes: some further results
- Contemporaneous aggregation of GARCH processes
- An Exponential Continuous-Time GARCH Process
- Aggregation of random-coefficient AR(1) process with infinite variance and common innovations
- Conditionally heteroscedastic unobserved component models and their reduced form
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