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Temporal aggregation of univariate and multivariate time series models: A survey

  • Andrea Silvestrini

    ()

    (Bank of Italy, Economics and International Relations and CORE, Universit� catholique de Louvain.)

  • David Veredas

    ()

    (ECARES, Universit� Libre de Bruxelles and CORE, Universit� catholique de Louvain, Belgium)

We present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail how these techniques are employed. Some empirical applications illustrate the main issues.

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Paper provided by Bank of Italy, Economic Research and International Relations Area in its series Temi di discussione (Economic working papers) with number 685.

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Date of creation: Aug 2008
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Handle: RePEc:bdi:wptemi:td_685_08
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