Casals, José; Jerez, Miguel; Sotoca, Sonia - In: Journal of Forecasting 28 (2009) 4, pp. 316-342
This paper discusses how to specify an observable high-frequency model for a vector of time series sampled at high and low frequencies. To this end we first study how aggregation over time affects both the dynamic components of a time series and their observability, in a multivariate linear...