Temporal aggregation of GARCH processes

Research output: Working paperDiscussion paperOther research output

575 Downloads (Pure)
Original languageEnglish
PublisherUnknown Publisher
Number of pages27
Volume1990-66
Publication statusPublished - 1990

Publication series

NameCentER Discussion Paper
Volume1990-66

Keywords

  • GARCH Models
  • econometrics

Cite this

Drost, F. C., & Nijman, T. E. (1990). Temporal aggregation of GARCH processes. (CentER Discussion Paper; Vol. 1990-66). Unknown Publisher.