The use of aggregate time series for testing conditional heteroscedasticity
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Cites work
- A general property for time aggregation
- A spectral measure for the information loss of temporal aggregation
- An accurate approximation to the distribution of a linear combination of non-central chi-square random variables
- Analysis of financial time series
- Asymptotic behavior of temporal aggregates in the frequency domain
- Asymptotic behaviour of temporal aggregates of time series
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bartlett's formula for a general class of nonlinear processes
- Closing the GARCH gap: Continuous time GARCH modeling
- DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
- Effect of temporal aggregation on multiple time series in the frequency domain
- Effect of temporal aggregation on the dynamic relationship of two time series variables
- Estimating weak GARCH representations
- Forecasting aggregated vector ARMA processes
- GARCH models. Structure, statistical inference and financial applications
- Generalized autoregressive conditional heteroscedasticity
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- Linear aggregation of vector autoregressive moving average processes
- On a measure of lack of fit in time series models
- Regular variation of GARCH processes.
- Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
- Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
- Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence
- Temporal aggregation and spurious instantaneous causality in multiple time series models
- Temporal aggregation and systematic sampling for INGARCH processes
- TEMPORAL AGGREGATION IN THE ARIMA PROCESS
- Temporal Aggregation of Garch Processes
- Temporal aggregation of multivariate GARCH processes
- Temporal aggregation of seasonally near-integrated processes
- Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes
- Temporal aggregation of volatility models
- Testing for GARCH effects: A one-sided approach
- The detection and estimation of long memory in stochastic volatility
- THE EFFECT OF AGGREGATION ON PREDICTION IN AUTOREGRESSIVE INTEGRATED MOVING‐AVERAGE MODELS
- The Effect of Aggregation on Prediction in the Autoregressive Model
- The effect of temporal aggregation on the estimation accuracy of ARMA models
- The effect of temporal aggregation on the estimation accuracy of time series models
- The use of temporally aggregated data in modeling and testing a variance change in a time series
- The use of temporally aggregated data on detecting a mean change of a time series process
- Time series analysis. Univariate and multivariate methods.
- Time series: theory and methods.
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