Temporal aggregation of GARCH processes

Research output: Chapter in Book/Report/Conference proceeding › Chapter › Professional

Original language	English
Title of host publication	ARCH
Subtitle of host publication	Selected readings
Editors	R.F. Engle
Place of Publication	Oxford
Publisher	Oxford University Press
Pages	221-240
Number of pages	20
ISBN (Print)	0198774311
Publication status	Published - 1995
Externally published	Yes

Name	Advanced texts in econometrics

Cite this

@inbook{1921c77563534e229aec1c1dfcc5685c,

title = "Temporal aggregation of GARCH processes",

author = "F.C. Drost and T.E. Nijman",

note = "Pagination: 20",

year = "1995",

language = "English",

isbn = "0198774311",

series = "Advanced texts in econometrics",

publisher = "Oxford University Press",

pages = "221--240",

editor = "R.F. Engle",

booktitle = "ARCH",

}