Temporal aggregation of multivariate GARCH processes
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- Temporal Aggregation of Garch Processes
- scientific article; zbMATH DE number 1916727
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- A closed-form estimator for the multivariate GARCH(1,1) model
- Causality and forecasting in temporally aggregated multivariate GARCH processes
Cites work
- scientific article; zbMATH DE number 4102349 (Why is no real title available?)
- scientific article; zbMATH DE number 193126 (Why is no real title available?)
- scientific article; zbMATH DE number 1324089 (Why is no real title available?)
- scientific article; zbMATH DE number 951459 (Why is no real title available?)
- scientific article; zbMATH DE number 802915 (Why is no real title available?)
- scientific article; zbMATH DE number 811061 (Why is no real title available?)
- ARCH models as diffusion approximations
- Causality and forecasting in temporally aggregated multivariate GARCH processes
- Closing the GARCH gap: Continuous time GARCH modeling
- Estimation of temporally aggregated multivariate GARCH models
- Forecasting aggregated vector ARMA processes
- Multi-Factor Experimental Designs for Exploring Response Surfaces
- Temporal Aggregation of Garch Processes
- Temporal aggregation of volatility models
- The solution of dynamic linear rational expectations models
Cited in
(16)- Temporal aggregation and systematic sampling for INGARCH processes
- A closed-form estimator for the multivariate GARCH(1,1) model
- Testing conditional heteroscedasticity with systematic sampling of time series
- A spectral measure for the information loss of temporal aggregation
- Estimation of temporally aggregated multivariate GARCH models
- A practical multivariate approach to testing volatility spillover
- Temporal Aggregation of Garch Processes
- Method of moments estimation of GO-GARCH models
- Weak diffusion limits of dynamic conditional correlation models
- The use of aggregate time series for testing conditional heteroscedasticity
- Temporal aggregation of volatility models
- Two-step estimation for time varying ARCH models
- Spline estimation of a semiparametric GARCH model
- Temporal aggregation of Markov-switching financial return models
- Aggregation and marginalization of GARCH processes: some further results
- Causality and forecasting in temporally aggregated multivariate GARCH processes
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