This paper explores the aggregation problem and illustrates its relevance using data for the Netherlands from the third …

In this paper, we consider temporal aggregation of volatility models. We introduce a semiparametric class of volatility … aggregation of IGARCH models and non-linear models such as EGARCH and Exponential SV in discrete and continuous time. Dans cet …

This paper studies the conditions for aggregation, portfolio separation and effective completeness of competitive … conversely. Fund separation implies effective completeness while aggregation does not. The implications of these properties for … nonmarketed wealth emerge from the analysis. Cet article étudie les conditions requises pour l'aggrégation, la séparation de …