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, 458-497

Abstract: 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.

Date: 2008
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https://doi.org/10.1111/j.1467-6419.2007.00538.x

Related works:
Working Paper: Temporal aggregation of univariate and multivariate time series models: A survey (2009)
Working Paper: 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:bla:jecsur:v:22:y:2008:i:3:p:458-497

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