A general property for time aggregation

DOI10.1016/J.EJOR.2019.12.045MaRDI QIDQ2030709zbMATH OpenOpenAlexWikidataFDO

Authors Carol Alexander, Johannes Rauch

Publication date 7 June 2021

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL http://sro.sussex.ac.uk/id/eprint/89186/1/EJOR_2020.pdf

zbMATH Keywords

aggregation propertyhigher momentsrisk premiatime aggregationunbiased and efficient estimators

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Arbitrage bounds for prices of weighted variance swaps
• Arithmetic variance swaps
• Causality and forecasting in temporally aggregated multivariate GARCH processes
• Discretely sampled variance and volatility swaps versus their continuous approximations
• Forecasting with temporal hierarchies
• Matrix Analysis
• Model-independent hedging strategies for variance swaps
• Non-linear models: where do we go next - time varying parameter models?
• Optimal combination forecasts for hierarchical time series
• Optimal positioning in derivative securities
• Prices and asymptotics for discrete variance swaps
• Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
• The impact of temporal aggregation on supply chains with ARMA\((1,1)\) demand processes
• Variance trading and market price of variance risk

Cited in

(6)

• Approximating the time-weighted return: the case of flows at unknown time
• Random aggregation with applications in high-frequency finance
• OPERATORS ON INHOMOGENEOUS TIME SERIES
• scientific article; zbMATH DE number 3906168 (Why is no real title available?)
• The use of aggregate time series for testing conditional heteroscedasticity
• The continuous limit of weak GARCH

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