References listed on IDEAS
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1. Granger, C. W. J., 1987. "Implications of Aggregation with Common Factors," Econometric Theory, Cambridge University Press, vol. 3(02), pages 208-222, April. [Downloadable!]
2. BAUWENS, Luc & LAURENT, SŽbastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," CORE Discussion Papers 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
   Other versions:
   • Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109. [Downloadable!]
3. Clive Granger & Tae-Hwy Lee, 1999. "The effect of aggregation on nonlinearity," Econometric Reviews, Taylor and Francis Journals, vol. 18(3), pages 259-269. [Downloadable!] (restricted)
4. Oscar Jordà & Massimiliano Marcellino, 2004. "Time-scale transformations of discrete time processes," Journal of Time Series Analysis, Blackwell Publishing, vol. 25(6), pages 873-894, November. [Downloadable!] (restricted)
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   • Jorda, Oscar & Marcellino, Massimiliano, 2003. "Time-Scale Transformations of Discrete-Time Processes," Working Papers 03-2, University of California at Davis, Department of Economics. [Downloadable!]
5. Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38. [Downloadable!] (restricted)
6. Drost, Feike C & Nijman, Theo E, 1993. "Temporal Aggregation of GARCH Processes," Econometrica, Econometric Society, vol. 61(4), pages 909-27, July. [Downloadable!] (restricted)
   Other versions:
   • Drost, F.C. & Nijman, T.E., 1992. "Temporal Aggregation of Garch Processes," Papers 9240, Tilburg - Center for Economic Research.
   • Drost, F.C. & Nijman, T.E., 1990. "Temporal Aggregation Of Garch Processes," Papers 9066, Tilburg - Center for Economic Research.
7. Weiss, Andrew A., 1984. "Systematic sampling and temporal aggregation in time series models," Journal of Econometrics, Elsevier, vol. 26(3), pages 271-281, December. [Downloadable!] (restricted)
8. Palm, Franz C & Nijman, Theo E, 1984. "Missing Observations in the Dynamic Regression Model," Econometrica, Econometric Society, vol. 52(6), pages 1415-35, November. [Downloadable!] (restricted)
   Other versions:
   • Palm, F.C. & Nijman, Th., 1982. "Missing observations in the dynamic regression model," Serie Research Memoranda 0018, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
9. HAFNER, Christian & ROMBOUTS, Jeroen, 2003. "Estimation of temporally aggregated multivariate GARCH models," CORE Discussion Papers 2003073, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
   Other versions:
   • Hafner, C.M. & Rombouts, J.V.K., 2004. "Estimation of temporally aggregated multivariate GARCH models," Econometric Institute Report EI 2004-30 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
10. Nijman, Theo E & Palm, Franz C, 1990. "Predictive Accuracy Gain from Disaggregate Sampling in ARIMA Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(4), pages 405-15, October.
11. Christian M. Hafner, 2004. "Temporal aggregation of multivariate GARCH processes," Econometric Society 2004 North American Winter Meetings 538, Econometric Society. [Downloadable!]
    Other versions:
    • Hafner, C.M., 2004. "Temporal aggregation of multivariate GARCH processes," Econometric Institute Report EI 2004-29 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    • Hafner, Christian M., 2008. "Temporal aggregation of multivariate GARCH processes," Journal of Econometrics, Elsevier, vol. 142(1), pages 467-483, January. [Downloadable!] (restricted)
12. Clive W. J. Granger, 1988. "Aggregation of time series variables-a survey," Discussion Paper / Institute for Empirical Macroeconomics 1, Federal Reserve Bank of Minneapolis. [Downloadable!]
13. Yue Fang & Sergio G. Koreisha, 2004. "Updating ARMA predictions for temporal aggregates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(4), pages 275-296. [Downloadable!]
14. Lutkepohl, Helmut, 1984. "Forecasting Contemporaneously Aggregated Vector ARMA Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(3), pages 201-14, July.
15. Drost, Feike C. & Werker, Bas J. M., 1996. "Closing the GARCH gap: Continuous time GARCH modeling," Journal of Econometrics, Elsevier, vol. 74(1), pages 31-57, September. [Downloadable!] (restricted)
16. William W. S. Wei, 1978. "Some Consequences of Temporal Aggregation in Seasonal Time Series Models," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 433-448 National Bureau of Economic Research, Inc. [Downloadable!]
17. MOULIN, Laurent & SALTO, Matteo & SILVESTRINI, Andrea & VEREDAS, David, 2004. "Using intra annual information to forecast the annual state deficits : the case of France," CORE Discussion Papers 2004048, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
18. Marcellino, Massimiliano, 1999. "Some Consequences of Temporal Aggregation in Empirical Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 129-36, January.
19. Tommaso Proietti, 2004. "On the Estimation of Nonlinearly Aggregated Mixed Models," Econometrics 0411012, EconWPA. [Downloadable!]
20. Luiz Hotta & Pedro Pereira & Rissa Ota, 2004. "Effect of outliers on forecasting temporally aggregated flow variables," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 13(2), pages 371-402, December. [Downloadable!] (restricted)
21. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
22. 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. [Downloadable!] (restricted)
23. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July. [Downloadable!] (restricted)

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

1. Andrea Silvestrini & Matteo Salto & Laurent Moulin & David Veredas, 2008. "Monitoring and forecasting annual public deficit every month: the case of France," Empirical Economics, Springer, vol. 34(3), pages 493-524, June. [Downloadable!] (restricted)