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

Andrea Silvestrini and David Veredas

No 685, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: 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.

Keywords: Temporal aggregation; ARIMA; Seasonality; GARCH; Vector ARMA; Spurious causality; Multivariate GARCH (search for similar items in EconPapers)
JEL-codes: C10 C22 C32 C43 (search for similar items in EconPapers)
Date: 2008-08
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (80)

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Related works:
Working Paper: Temporal aggregation of univariate and multivariate time series models: A survey (2009)
Journal Article: TEMPORAL AGGREGATION OF UNIVARIATE AND MULTIVARIATE TIME SERIES MODELS: A SURVEY (2008)
Working Paper: Temporal aggregation of univariate and multivariate time series models: a survey (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_685_08

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