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Temporal aggregation of GARCH processes
Drost, Feike C.; Nijman, Theodore E. - 1990
Persistent link: https://www.econbiz.de/10000801756
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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
Persistent link: https://www.econbiz.de/10009729085
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Temporal aggregation of volatility models
Meddahi, Nour; Renault, Eric - In: Journal of econometrics 119 (2004) 2, pp. 355-379
Persistent link: https://www.econbiz.de/10001956326
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Cross sectional aggregation and persistence in conditional variance
Karanasos, Menelaos; Psaradakis, Zacharias G.; Sola, Martin - 2000
Persistent link: https://www.econbiz.de/10001488560
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Contemporaneous aggregation of Garch processes
Zaffaroni, Paolo - 2000
Persistent link: https://www.econbiz.de/10001444255
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Temporal aggregation of GARCH processes
Drost, Feike C.; Nijman, Theodore E. - 1992 - Rev
Persistent link: https://www.econbiz.de/10000847144
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Using the conditional volatility channel to improve the accuracy of aggregate equity return predictions
Nonejad, Nima - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 973-1009
Persistent link: https://www.econbiz.de/10012616915
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The demand for liquid assets : evidence from the Minflex Laurent demand system with conditionally heteroskedastic errors
Chang, Dongfeng; Serletis, Apostolos - In: Macroeconomic dynamics 23 (2019) 7, pp. 2941-2958
Persistent link: https://www.econbiz.de/10012127403
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Temporal aggregation of random walk processes and implications for economic analysis
Ahmad, Yamin S.; Payá, Ivan - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10012198637
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Tail Risk Monotonicity Under Temporal Aggregation in GARCH(1,1) Models
Glasserman, Paul - 2020
study the change in the exponent of the tail decay under temporal aggregation of parameters, with the distribution of … aggregation, and these conditions cover most relevant combinations of parameters and innovation distributions. But we also prove …
Persistent link: https://www.econbiz.de/10012846179