Temporal Aggregation Effects in Choosing the Optimal Lag Order in Stable ARMA Models: Some Monte Carlo Results

Maria Nikoloudaki and Dikaios Tserkezos ()
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Dikaios Tserkezos: Department of Economics, University of Crete, Greece

No 822, Working Papers from University of Crete, Department of Economics

Keywords: Stable ARMA process; temporal aggregation and stochastic simulation (search for similar items in EconPapers)
JEL-codes: C32 C43 C51 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2008-01-01
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Published in Presented in the International Conference on Water Economics, Statistics, and Finance

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