Temporal Aggregation of Garch Processes (Q3142744)
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scientific article; zbMATH DE number 447131
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Temporal Aggregation of Garch Processes |
scientific article; zbMATH DE number 447131 |
Statements
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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0.8685770630836487
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0.8269920945167542
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0.8095465898513794
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0.7971766591072083
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0.7966311573982239
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