Temporal Aggregation of Financial Time Series in Taylor's Model

Takeaki Kariya and Yoshihiko Tsukuda

Discussion Paper Series from Institute of Economic Research, Hitotsubashi University

Abstract: This article proves that the stochastic process of returns decribed by S. Taylor's heteroscedastic nonlinear model converges in distribution to an iid normal process (normal white noise) as the number of the terms of temporal aggregetion increases.

Date: 1990-04
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Persistent link: https://EconPapers.repec.org/RePEc:hit:hituec:a226

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