Temporal aggregation of GARCH processes
Year of publication: |
1993
|
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Authors: | Drost, Feike C. |
Other Persons: | Nijman, Theodore E. (contributor) |
Published in: |
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics. - [Wechselnde Erscheinungsorte] : [Wechselnde Verlage], ISSN 0012-9682, ZDB-ID 1798-X. - Vol. 61.1993, 4, p. 909-927
|
Subject: | Zeitreihenanalyse | Time series analysis | Aggregation | Theorie | Theory | Wechselkurs | Exchange rate | USA | United States | 1980-1985 |
Extent: | Graph. Darst |
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Type of publication: | Article |
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | GARCH = Generalized autoregressive conditional heteroscedasticity |
Source: | ECONIS - Online Catalogue of the ZBW |
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