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- W2030576006 abstract "This paper derives results for the temporal aggregation of multivariate GARCH(1,1) processes in the general vector specification. It is shown that the class of weak multivariate GARCH(1,1) processes is closed under temporal aggregation. Fourth moment characteristics turn out to be crucial for the low frequency dynamics for both stock and flow variables. In some aspects, the aggregation characteristics of multivariate GARCH processes are shown to be different from those of vector autoregressive moving average processes. A numerical example illustrates some of the results." @default.
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- W2030576006 title "Temporal aggregation of multivariate GARCH processes" @default.
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- W2030576006 doi "https://doi.org/10.1016/j.jeconom.2007.08.001" @default.
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