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Linear aggregation of vector autoregressive moving average processes

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  • Lutkepohl, Helmut

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  • Lutkepohl, Helmut, 1984. "Linear aggregation of vector autoregressive moving average processes," Economics Letters, Elsevier, vol. 14(4), pages 345-350.
  • Handle: RePEc:eee:ecolet:v:14:y:1984:i:4:p:345-350
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    Cited by:

    1. Sbrana, Giacomo & Silvestrini, Andrea, 2013. "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1437-1450.
    2. Sbrana, Giacomo & Silvestrini, Andrea, 2013. "Forecasting aggregate demand: Analytical comparison of top-down and bottom-up approaches in a multivariate exponential smoothing framework," International Journal of Production Economics, Elsevier, vol. 146(1), pages 185-198.
    3. Giacomo Sbrana & Andrea Silvestrini, 2012. "Comparing aggregate and disaggregate forecasts of first order moving average models," Statistical Papers, Springer, vol. 53(2), pages 255-263, May.
    4. Hlouskova, Jaroslava & Schmidheiny, Kurt & Wagner, Martin, 2009. "Multistep predictions for multivariate GARCH models: Closed form solution and the value for portfolio management," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 330-336, March.

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