Temporal aggregation of GARCH processes

Research output: Chapter in Book/Report/Conference proceedingChapterProfessional

Original languageEnglish
Title of host publicationARCH
Subtitle of host publicationSelected readings
EditorsR.F. Engle
Place of PublicationOxford
PublisherOxford University Press
Pages221-240
Number of pages20
ISBN (Print)0198774311
Publication statusPublished - 1995
Externally publishedYes

Publication series

NameAdvanced texts in econometrics

Cite this

Drost, F. C., & Nijman, T. E. (1995). Temporal aggregation of GARCH processes. In R. F. Engle (Ed.), ARCH: Selected readings (pp. 221-240). (Advanced texts in econometrics). Oxford: Oxford University Press.
Drost, F.C. ; Nijman, T.E. / Temporal aggregation of GARCH processes. ARCH: Selected readings. editor / R.F. Engle. Oxford : Oxford University Press, 1995. pp. 221-240 (Advanced texts in econometrics).
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title = "Temporal aggregation of GARCH processes",
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year = "1995",
language = "English",
isbn = "0198774311",
series = "Advanced texts in econometrics",
publisher = "Oxford University Press",
pages = "221--240",
editor = "R.F. Engle",
booktitle = "ARCH",

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Drost, FC & Nijman, TE 1995, Temporal aggregation of GARCH processes. in RF Engle (ed.), ARCH: Selected readings. Advanced texts in econometrics, Oxford University Press, Oxford, pp. 221-240.

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

ARCH: Selected readings. ed. / R.F. Engle. Oxford : Oxford University Press, 1995. p. 221-240 (Advanced texts in econometrics).

Research output: Chapter in Book/Report/Conference proceedingChapterProfessional

TY - CHAP

T1 - Temporal aggregation of GARCH processes

AU - Drost, F.C.

AU - Nijman, T.E.

N1 - Pagination: 20

PY - 1995

Y1 - 1995

M3 - Chapter

SN - 0198774311

T3 - Advanced texts in econometrics

SP - 221

EP - 240

BT - ARCH

A2 - Engle, R.F.

PB - Oxford University Press

CY - Oxford

ER -

Drost FC, Nijman TE. Temporal aggregation of GARCH processes. In Engle RF, editor, ARCH: Selected readings. Oxford: Oxford University Press. 1995. p. 221-240. (Advanced texts in econometrics).