Temporal aggregation of GARCH processes

Feike C. Drost () and Theo Nijman

No 1992-40, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: GARCH Models; econometrics (search for similar items in EconPapers)
Date: 1992
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Citations: View citations in EconPapers (6)

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Related works:
Working Paper: Temporal aggregation of GARCH processes (1994)
Journal Article: Temporal Aggregation of GARCH Processes (1993)
Working Paper: Temporal aggregation of GARCH processes (1993)
Working Paper: Temporal Aggregation of Garch Processes (1992)
Working Paper: Temporal aggregation of GARCH processes (1992)
Working Paper: TEMPORAL AGGREGATION OF GARCH PROCESSES (1990)
Working Paper: Temporal aggregation of GARCH processes (1990)
Working Paper: Temporal aggregation of GARCH processes (1990)
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