Marginalization and contemporaneous aggregation in multivariate GARCH processes

Theo Nijman and Enrique Sentana

No 1993-12, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: Time Series; GARCH Models (search for similar items in EconPapers)
Date: 1993
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Marginalization and contemporaneous aggregation in multivariate GARCH processes (1996)
Working Paper: Marginalization and contemporaneous aggregation in multivariate GARCH processes (1996)
Working Paper: Marginalization and Contemporaneous Aggregation in Multivariate GARCH Processes (1994)
Working Paper: Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses (1994)
Working Paper: Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes (1993)
Working Paper: Marginalization and contemporaneous aggregation in multivariate GARCH processes (1993)
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