Despite the fact that many aggregates are nonlinear functions and the aggregation weights of many macroeconomic …, time-invariant aggregation weights. In this study a framework for nonlinear contemporaneous aggregation with possibly … theoretical setup and the forecasting results. -- forecasting ; stochastic aggregation ; autoregression ; moving average ; vector …

of a high-frequency series. Based on the theory of temporal aggregation, we provide the link between the spectral density …The effects of temporal aggregation and choice of sampling frequency are of great interest in modeling the dynamics of … asset price volatility. We show how the squared low-frequency returns can be expressed in terms of the temporal aggregation …

. Limit theory for the sample kurtosis reveals that STUR specifications provide two sources of excess kurtosis, both of which …