Search Results - subject:"Temporal aggregation"

Aggregation of exponential smoothing processes with an application to portfolio risk evaluation

Sbrana, Giacomo; Silvestrini, Andrea - In: Journal of Banking & Finance 37 (2013) 5, pp. 1437-1450

In this paper we propose a unified framework to analyse contemporaneous and temporal aggregation of a widely employed …

Persistent link: https://www.econbiz.de/10010741756

A closed-form estimator for the multivariate GARCH(1,1) model

Sbrana, Giacomo; Poloni, Federico - In: Journal of Multivariate Analysis 120 (2013) C, pp. 152-162

We provide a closed-form estimator based on the VARMA representation for the unrestricted multivariate GARCH(1,1) model. We show that the GARCH parameters can be derived analytically, using the autocovariances of the observed data, applying simple linear algebra tools. The resulting estimator is...

Persistent link: https://www.econbiz.de/10010681786

Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series

Ghysels, Eric; Miller, J. Isaac - C.E.P.R. Discussion Papers - 2013

We examine the effects of mixed sampling frequencies and temporal aggregation on standard tests for cointegration. We …

Persistent link: https://www.econbiz.de/10011084358

Construction of property price indices

Owusu‐Ansah, Anthony - In: Property Management 31 (2013) 2, pp. 115-131

Purpose – The purpose of this paper is to examine if temporal aggregation matters in the construction of house price … yearly indices are constructed for each of the methods and six null hypotheses are tested to examine the temporal aggregation …. The results also show that it is important to limit time to the lowest level of temporal aggregation when construction …

Persistent link: https://www.econbiz.de/10014971808

Model-free measurement of exchange market pressure

Klaassen, Franc; Jager, Henk - 2006

If there is exchange market pressure (EMP), monetary authorities can use the interest rate and official interventions to offset this depreciation tendency, or they can let the exchange rate change. We introduce a new approach to derive how these three variables should be combined to measure EMP....

Persistent link: https://www.econbiz.de/10011350376

Integracion vertical y transmision de precios en los canales de distribucion de la chirla

Toribio, R. Jimenez; Hoyo, J.J. Garcia Del - In: Revista Española de Estudios Agrosociales y Pesqueros (2005) 205

are made about the effects of temporal aggregation on the results. Finally, this study has allowed us to make some …

Persistent link: https://www.econbiz.de/10010882564

TEMPORAL AGGREGATION EFFECTS IN CHOOSING THE OPTIMAL LAG ORDER IN STABLE ARMA MODELS. SOME MONTE CARLO RESULTS.

Tserkezos, Dikaios; Nikoloudaki, Maria - Department of Economics, University of Crete - 2005

effects of using a variation of selection criteria under different temporal aggregation levels. We don¢t spend our attention …

Persistent link: https://www.econbiz.de/10004994331

Temporal aggregaton of univariate linear time series models

Andrea, SILVESTRINI - Institut de Recherche Économique et Sociale (IRES), … - 2005

In this paper we feature state-of-the-art econometric methodology of temporal aggregation for univariate linear time … series, namely ARIMA-GARCH models. We present a unified overview of temporal aggregation techniques for this broad class of …

Persistent link: https://www.econbiz.de/10004984769

Temporal aggregation of univariate linear time series models

SILVESTRINI, Andrea; VEREDAS, David - Center for Operations Research and Econometrics (CORE), … - 2005

Persistent link: https://www.econbiz.de/10005065424

A comment on “An analysis of global warming in the Alpine Region based on nonlinear nonstationary time series models” by F. Battaglia and M. K. Protopapas

Giordano, Francesco; Perna, Cira; Vitale, Cosimo - In: Statistical Methods and Applications 21 (2012) 3, pp. 355-361

is based on a temporal aggregation analysis and it can help to highlight some features in the data. Copyright Springer …

Persistent link: https://www.econbiz.de/10010998661