Temporal aggregation of multivariate GARCH processes
Year of publication: |
2004-08-12
|
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Authors: | Hafner, Christian Matthias |
Institutions: | Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam |
Subject: | causality in variance | multivariate GARCH | realized volatility | temporal aggregation | volatility forecasts |
Extent: | application/pdf |
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Series: | Econometric Institute Research Papers. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:ems:eureir Number EI 2004-29 |
Classification: | C22 - Time-Series Models |
Source: |
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