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Temporal aggregation of multivariate GARCH processes
Hafner, Christian M. - Econometric Society - 2004
This paper derives results for the temporal aggregation of multivariate GARCH processes in the general vector specification. It is shown that the class of weak multivariate GARCH processes is closed under temporal aggregation. Fourth moment characteristics turn out to be crucial for the low...
Persistent link: https://www.econbiz.de/10005328998
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Advances in economics and econometrics: theory and applications ; Vol. 1
Kreps, David M. (ed.); Wallis, Kenneth Frank (ed.) - 1997
Persistent link: https://www.econbiz.de/10000618529
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Advances in economics and econometrics: theory and applications ; Vol. 2
Kreps, David M. (ed.); Wallis, Kenneth Frank (ed.) - 1997
Persistent link: https://www.econbiz.de/10000618530
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Advances in economics and econometrics: theory and applications ; Vol. 3
Kreps, David M. (ed.); Wallis, Kenneth Frank (ed.) - 1997
Persistent link: https://www.econbiz.de/10000618531
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Advances in econometrics ; Vol. 2
Sims, Christopher A. (contributor) - 1996 - 1. paperback ed
Persistent link: https://www.econbiz.de/10000591742
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Advances in economic theory ; Vol. 1
Laffont, Jean-Jacques (contributor) - 1992
Persistent link: https://www.econbiz.de/10000344425
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Advances in economic theory ; Vol. 2
Laffont, Jean-Jacques (contributor) - 1992
Persistent link: https://www.econbiz.de/10000344426
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Econometric Society monographs
Econometric Society - Cambridge : Univ. Press - 9.1985 -
Persistent link: https://www.econbiz.de/10000351397