TEMPORAL AGGREGATION OF GARCH PROCESSES

Feike C. Drost () and Theo Nijman

Working Papers from Tilburg - Center for Economic Research

Keywords: economic models; heteroskedasticity (search for similar items in EconPapers)
Pages: 27 pages
Date: 1990
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Citations: View citations in EconPapers (95)

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Related works:
Journal Article: Temporal Aggregation of GARCH Processes (1993)
Working Paper: Temporal Aggregation of Garch Processes (1992)
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