Temporal aggregation of multivariate GARCH processes
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Publication:290974
DOI10.1016/J.JECONOM.2007.08.001zbMATH Open1418.62326OpenAlexW2030576006MaRDI QIDQ290974FDOQ290974
Publication date: 3 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://repec.org/esNAWM04/up.4970.1049224719.pdf
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- Temporal aggregation of volatility models
- Forecasting aggregated vector ARMA processes
- Multi-Factor Experimental Designs for Exploring Response Surfaces
- Causality and forecasting in temporally aggregated multivariate GARCH processes
- Estimation of temporally aggregated multivariate GARCH models
Cited In (15)
- A closed-form estimator for the multivariate GARCH(1,1) model
- Two‐Step Estimation for Time Varying Arch Models
- Temporal aggregation of Markov-switching financial return models
- Temporal aggregation and systematic sampling for INGARCH processes
- Testing conditional heteroscedasticity with systematic sampling of time series
- Estimation of temporally aggregated multivariate GARCH models
- Method of moments estimation of GO-GARCH models
- Temporal Aggregation of Garch Processes
- Spline estimation of a semiparametric GARCH model
- Aggregation and marginalization of GARCH processes: some further results
- A practical multivariate approach to testing volatility spillover
- A spectral measure for the information loss of temporal aggregation
- The use of aggregate time series for testing conditional heteroscedasticity
- WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS
- Causality and forecasting in temporally aggregated multivariate GARCH processes
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