Temporal aggregation of GARCH processes

Research output: Contribution to journalArticleScientificpeer-review

310 Downloads (Pure)
Original languageEnglish
Pages (from-to)909-927
Number of pages19
JournalEconometrica
Volume61
Issue number4
Publication statusPublished - 1993

Cite this

@article{0642fb61c7f44281b4844f32b23f2f9c,
title = "Temporal aggregation of GARCH processes",
author = "F.C. Drost and T.E. Nijman",
note = "Pagination: 19",
year = "1993",
language = "English",
volume = "61",
pages = "909--927",
journal = "Econometrica",
issn = "0012-9682",
publisher = "Wiley-Blackwell",
number = "4",

}

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

In: Econometrica, Vol. 61, No. 4, 1993, p. 909-927.

Research output: Contribution to journalArticleScientificpeer-review

TY - JOUR

T1 - Temporal aggregation of GARCH processes

AU - Drost, F.C.

AU - Nijman, T.E.

N1 - Pagination: 19

PY - 1993

Y1 - 1993

M3 - Article

VL - 61

SP - 909

EP - 927

JO - Econometrica

JF - Econometrica

SN - 0012-9682

IS - 4

ER -