Temporal aggregation of GARCH processes

Research output: Working paperDiscussion paperOther research output

1127 Downloads (Pure)
Original languageEnglish
PublisherUnknown Publisher
Number of pages21
Volume1992-40
Publication statusPublished - 1992

Publication series

NameCentER Discussion Paper
Volume1992-40

Keywords

  • GARCH Models
  • econometrics

Cite this

Drost, F. C., & Nijman, T. E. (1992). Temporal aggregation of GARCH processes. (CentER Discussion Paper; Vol. 1992-40). Unknown Publisher.
Drost, F.C. ; Nijman, T.E. / Temporal aggregation of GARCH processes. Unknown Publisher, 1992. (CentER Discussion Paper).
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title = "Temporal aggregation of GARCH processes",
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author = "F.C. Drost and T.E. Nijman",
note = "Pagination: 21",
year = "1992",
language = "English",
volume = "1992-40",
series = "CentER Discussion Paper",
publisher = "Unknown Publisher",
type = "WorkingPaper",
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}

Drost, FC & Nijman, TE 1992 'Temporal aggregation of GARCH processes' CentER Discussion Paper, vol. 1992-40, Unknown Publisher.

Temporal aggregation of GARCH processes. / Drost, F.C.; Nijman, T.E.

Unknown Publisher, 1992. (CentER Discussion Paper; Vol. 1992-40).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - Temporal aggregation of GARCH processes

AU - Drost, F.C.

AU - Nijman, T.E.

N1 - Pagination: 21

PY - 1992

Y1 - 1992

KW - GARCH Models

KW - econometrics

M3 - Discussion paper

VL - 1992-40

T3 - CentER Discussion Paper

BT - Temporal aggregation of GARCH processes

PB - Unknown Publisher

ER -

Drost FC, Nijman TE. Temporal aggregation of GARCH processes. Unknown Publisher. 1992. (CentER Discussion Paper).