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Aggregation and memory of models of changing volatility

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  • Zaffaroni, Paolo
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-4JVTC0G-1/2/d2ccf4969a365a7a04b9a77e32b7eb26
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 136 (2007)
    Issue (Month): 1 (January)
    Pages: 237-249

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    Handle: RePEc:eee:econom:v:136:y:2007:i:1:p:237-249

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    Web page: http://www.elsevier.com/locate/jeconom

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    References

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    1. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    2. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
    3. Kazakevicius, Vytautas & Leipus, Remigijus & Viano, Marie-Claude, 2004. "Stability of random coefficient ARCH models and aggregation schemes," Journal of Econometrics, Elsevier, vol. 120(1), pages 139-158, May.
    4. Nijman, T.E. & Sentana, E., 1996. "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Open Access publications from Tilburg University urn:nbn:nl:ui:12-73202, Tilburg University.
    5. Paolo Zaffaroni, 2000. "Contemporaneous Aggregation of GARCH Processes," STICERD - Econometrics Paper Series /2000/378, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    6. Peter M Robinson, 2001. "The Memory of Stochastic Volatility Models," STICERD - Econometrics Paper Series /2001/410, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    7. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
    8. MEDDAHI, Nour & RENAULT, Éric, 1998. "Aggregations and Marginalization of GARCH and Stochastic Volatility Models," Cahiers de recherche 9818, Universite de Montreal, Departement de sciences economiques.
    9. Granger, Clive W. J. & Ding, Zhuanxin, 1996. "Varieties of long memory models," Journal of Econometrics, Elsevier, vol. 73(1), pages 61-77, July.
    10. Zaffaroni, Paolo, 2004. "Contemporaneous aggregation of linear dynamic models in large economies," Journal of Econometrics, Elsevier, vol. 120(1), pages 75-102, May.
    11. Nour Meddahi, 2000. "Temporal Aggregation of Volatility Models," Econometric Society World Congress 2000 Contributed Papers 1903, Econometric Society.
    12. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
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    Cited by:
    1. Pilipauskaitė, Vytautė & Surgailis, Donatas, 2014. "Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes," Stochastic Processes and their Applications, Elsevier, vol. 124(2), pages 1011-1035.
    2. Beran, Jan & Schützner, Martin & Ghosh, Sucharita, 2010. "From short to long memory: Aggregation and estimation," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2432-2442, November.

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