Temporal Aggregation of Garch Processes
From MaRDI portal
Recommendations
Cited in
(only showing first 100 items - show all)- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Closing the GARCH gap: Continuous time GARCH modeling
- ARCH modeling in finance. A review of the theory and empirical evidence
- Testing for GARCH effects: A one-sided approach
- Nonparametric vector autoregression
- Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models
- MIDAS Regressions: Further Results and New Directions
- Efficient estimation in semiparametric GARCH models
- A note on the asymptotic distribution of the maxima in disaggregated time-series models.
- Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
- Modeling long memory in stock market volatility
- The uncertainty of conditional returns, volatilities and correlations in DCC models
- On the univariate representation of BEKK models with common factors
- Near-integrated GARCH sequences
- Financial econometrics: Past developments and future challenges
- Empirical volatility analysis: Feature detection and signal extraction with function dictionaries
- Modeling the interdependence of volatility and inter-transaction duration processes.
- Marginalization and contemporaneous aggregation in multivariate GARCH processes
- Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
- GARCH and irregularly spaced data
- Simulation analysis of threshold autoregressive unit root tests
- Reconsidering the continuous time limit of the GARCH(1,1) process
- A general property for time aggregation
- Stochastic dominance efficient sets and stochastic spanning
- Temporal aggregation and systematic sampling for INGARCH processes
- In search of lost time aggregation
- Volatility regressions with fat tails
- Diversification benefits in the cryptocurrency market under mild explosivity
- Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence
- Statistical inference for autoregressive models under heteroscedasticity of unknown form
- The risk return relationship: evidence from index returns and realised variances
- Editorial: Dynamic factor models
- Temporal aggregation of volatility models
- GARCH models without positivity constraints: exponential or log GARCH?
- Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues
- A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models
- Strategic long-term financial risks: single risk factors
- Forecasting credit spread volatility: evidence from the Japanese Eurobond market
- The continuous-time limit of score-driven volatility models
- Estimating dynamic copula dependence using intraday data
- Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
- Temporal aggregation of random walk processes and implications for economic analysis
- Temporal aggregation of lognormal AR processes
- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
- The quantilogram: with an application to evaluating directional predictability
- Temporal aggregation of multivariate GARCH processes
- Monitoring disruptions in financial markets
- Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
- Temporal aggregation of Markov-switching financial return models
- Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
- Bayesian identification of stochastic linear systems with observations at multiple scales
- The robustness of modified unit root tests in the presence of GARCH
- Let's get LADE: robust estimation of semiparametric multiplicative volatility models
- WHY DOES THE STANDARD GARCH(1, 1) MODEL WORK WELL?
- Long-memory in high-frequency exchange rate volatility under temporal aggregation
- Analysing liquidity and absorption limits of electronic markets with volume durations
- Causality and forecasting in temporally aggregated multivariate GARCH processes
- Medium-term horizon volatility forecasting: A comparative study
- Maximum Likelihood Unit Root Testing in the Presence of GARCH: A New Test with Increased Power
- THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION
- ARMA representation of integrated and realized variances
- Properties of optimal forecasts under asymmetric loss and nonlinearity
- Risk forecasting in (T)GARCH models with uncorrelated dependent innovations
- NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
- An index of market shocks based on multiscale analysis
- Robust score and portmanteau tests of volatility spillover
- Aggregation and marginalization of GARCH processes: some further results
- Approximation methods for multiple period Value at Risk and Expected Shortfall prediction
- Generalized autoregressive moving average models with GARCH errors
- The use of aggregate time series for testing conditional heteroscedasticity
- ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
- A conditionally heteroskedastic binary choice model for macro-financial time series
- VaR prediction under long memory in volatility
- Detecting volatility persistence in GARCH models in the presence of the leverage effect
- Missing mean does no harm to volatility!
- Weak diffusion limits of dynamic conditional correlation models
- A Comparison of the Runs Test for Volatility Forecastability and the LM Test for GARCH Using Aggregated Returns
- Contemporaneous aggregation of GARCH processes
- Estimation of temporally aggregated multivariate GARCH models
- Multiperiod conditional distribution functions for conditionally normal GARCH(1, 1) models
- A max-correlation white noise test for weakly dependent time series
- The continuous limit of weak GARCH
- GARCH Model Estimation Using Estimated Quadratic Variation
- Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations
- Contemporaneous asymmetry in GARCH processes
- A test for volatility spillover with application to exchange rates
- Scaling relationships of Gaussian processes
- Semi- and nonparametric ARCH processes
- Testing conditional heteroscedasticity with systematic sampling of time series
- Nonparametric volatility prediction
- Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
- Tail risk monotonicity in GARCH(1,1) models
- Ole Eiler Barndorff-Nielsen and financial econometrics
- The effects of aggregation and sampling on periodic INGARCH processes
- The Effects of Temporal Aggregation on MIDAS Regressions
- On the use of high frequency measures of volatility in MIDAS regressions
- An empirical evaluation of some long-horizon macroeconomic forecasts
- Bayesian non-parametric signal extraction for Gaussian time series
- Estimation of fractional integration under temporal aggregation
- A spectral measure for the information loss of temporal aggregation
This page was built for publication: Temporal Aggregation of Garch Processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3142744)
