TEMPORAL AGGREGATION OF UNIVARIATE AND MULTIVARIATE TIME SERIES MODELS: A SURVEY

Andrea Silvestrini () and David Veredas ()

Journal of Economic Surveys, 2008, vol. 22, issue 3, pages 458-497

Abstract: 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.

Date: 2008
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Working Paper: Temporal aggregation of univariate and multivariate time series models: A survey (2008)
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