Aggregation and marginalization of GARCH processes: some further results

DOI10.1007/BF03321973zbMATH Open1302.62200MaRDI QIDQ478343FDOQ478343

Authors: Giacomo Sbrana 

Publication date: 3 December 2014

Published in: Metron (Search for Journal in Brave)

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zbMATH Keywords

aggregationGARCH

Mathematics Subject Classification ID

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

Cites Work

• Temporal Aggregation of Garch Processes
• Time series analysis and simultaneous equation econometric models
• Marginalization and contemporaneous aggregation in multivariate GARCH processes
• Temporal aggregation of volatility models
• Contemporaneous aggregation of GARCH processes
• Temporal aggregation of multivariate GARCH processes
• ARMA representation of integrated and realized variances

Cited In (3)

• Contemporaneous aggregation of GARCH processes
• Aggregation in ARCH models
• Temporal Aggregation of Garch Processes

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