Temporal aggregation of univariate and multivariate time series models: a survey
We present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail, although intuitively, the technical machinery behind the results. Some empirical applications illustrate the main issues. Copyright © 2008 The Authors. Journal compilation © 2008 Blackwell Publishing Ltd.
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|Date of creation:||2008|
|Date of revision:|
|Publication status:||Published in: Journal of economic surveys (2008) v.22 n° 3,p.458-497|
|Contact details of provider:|| Postal: CP135, 50, avenue F.D. Roosevelt, 1050 Bruxelles|
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- Roy van der Weide, 2002. "GO-GARCH: a multivariate generalized orthogonal GARCH model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 549-564.
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