Marginalization and contemporaneous aggregation in multivariate GARCH processes

T.E. Nijman, E. Sentana

Research output: Working paperDiscussion paperOther research output

213 Downloads (Pure)
Original languageEnglish
PublisherUnknown Publisher
Number of pages23
Volume1993-12
Publication statusPublished - 1993

Publication series

NameCentER Discussion Paper
Volume1993-12

Keywords

  • Time Series
  • GARCH Models

Cite this

Nijman, T. E., & Sentana, E. (1993). Marginalization and contemporaneous aggregation in multivariate GARCH processes. (CentER Discussion Paper; Vol. 1993-12). Unknown Publisher.
Nijman, T.E. ; Sentana, E. / Marginalization and contemporaneous aggregation in multivariate GARCH processes. Unknown Publisher, 1993. (CentER Discussion Paper).
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year = "1993",
language = "English",
volume = "1993-12",
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Nijman, TE & Sentana, E 1993 'Marginalization and contemporaneous aggregation in multivariate GARCH processes' CentER Discussion Paper, vol. 1993-12, Unknown Publisher.

Marginalization and contemporaneous aggregation in multivariate GARCH processes. / Nijman, T.E.; Sentana, E.

Unknown Publisher, 1993. (CentER Discussion Paper; Vol. 1993-12).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - Marginalization and contemporaneous aggregation in multivariate GARCH processes

AU - Nijman, T.E.

AU - Sentana, E.

N1 - Pagination: 23

PY - 1993

Y1 - 1993

KW - Time Series

KW - GARCH Models

M3 - Discussion paper

VL - 1993-12

T3 - CentER Discussion Paper

BT - Marginalization and contemporaneous aggregation in multivariate GARCH processes

PB - Unknown Publisher

ER -

Nijman TE, Sentana E. Marginalization and contemporaneous aggregation in multivariate GARCH processes. Unknown Publisher. 1993. (CentER Discussion Paper).