Temporal aggregation of GARCH processes

Research output: Book/ReportReportProfessional

40 Downloads (Pure)
Original languageEnglish
PublisherUnknown Publisher
Volume144
Publication statusPublished - 1994

Publication series

NameReprint series / CentER for Economic Research
Volume144

Keywords

  • GARCH Models

Cite this

Drost, F. C., & Nijman, T. E. (1994). Temporal aggregation of GARCH processes. (Reprint series / CentER for Economic Research; Vol. 144). Unknown Publisher.