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Temporal aggregation of ARCH processes and the distribution of asset returns

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  • Francis X. Diebold

Abstract

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Suggested Citation

  • Francis X. Diebold, 1986. "Temporal aggregation of ARCH processes and the distribution of asset returns," Special Studies Papers 200, Board of Governors of the Federal Reserve System (U.S.).
  • Handle: RePEc:fip:fedgsp:200
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    Cited by:

    1. Bekaert, Geert, 1996. "The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 427-470.
    2. Michail Karoglou, 2010. "Breaking down the non-normality of stock returns," The European Journal of Finance, Taylor & Francis Journals, vol. 16(1), pages 79-95.
    3. Sunil Poshakwale & Victor Murinde, 2001. "Modelling the volatility in East European emerging stock markets: evidence on Hungary and Poland," Applied Financial Economics, Taylor & Francis Journals, vol. 11(4), pages 445-456.
    4. Richard Harmon, 1988. "The simultaneous equations model with generalized autoregressive conditional heteroskedasticity: the SEM-GRACH model," International Finance Discussion Papers 322, Board of Governors of the Federal Reserve System (U.S.).

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    Keywords

    Economics ; Time-series analysis;

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