Temporal aggregation of univariate and multivariate time series models: a survey

Andrea Silvestrini and David Veredas

ULB Institutional Repository from ULB -- Universite Libre de Bruxelles

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: 2008-07
Note: FLWIN
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Published in: Journal of economic surveys (2008) v.22 n° 3,p.458-497

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Related works:
Working Paper: Temporal aggregation of univariate and multivariate time series models: A survey (2009)
Journal Article: 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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