Time-Scale Transformations of Discrete-Time Processes
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- Oscar Jordà & Massimiliano Marcellino, 2004. "Time-scale transformations of discrete time processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(6), pages 873-894, November.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- SILVESTRINI, Andrea & VEREDAS, David, 2005.
"Temporal aggregation of univariate linear time series models,"
CORE Discussion Papers
2005059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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- Robert Kunst & Philip Franses, 2015.
"Asymmetric time aggregation and its potential benefits for forecasting annual data,"
Springer, vol. 49(1), pages 363-387, August.
- Kunst, Robert M. & Franses, Philip Hans, 2010. "Asymmetric Time Aggregation and its Potential Benefits for Forecasting Annual Data," Economics Series 252, Institute for Advanced Studies.
- Ramey, Garey & Shigeru Fujita, 2006. "The Cyclicality of Job Loss and Hiring," University of California at San Diego, Economics Working Paper Series qt4nz8p839, Department of Economics, UC San Diego.
More about this item
Keywordstime aggregation; time-scale transformation; irregularly spaced data; autoregressive conditional intensity model.;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
- F31 - International Economics - - International Finance - - - Foreign Exchange
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