Aggregation and marginalization of GARCH processes: some further results

Giacomo Sbrana

doi:10.1007/bf03321973

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Aggregation and marginalization of GARCH processes: some further results

Giacomo Sbrana

Year: 2012 Journal: METRON Vol: 70 (2-3)Pages: 165-172 Publisher: Springer Science+Business Media

DOI: 10.1007/bf03321973

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Keywords:

Autoregressive conditional heteroskedasticity Bivariate analysis Econometrics Context (archaeology) Aggregate (composite) Mathematics Constant (computer programming) Order (exchange) Applied mathematics Economics Statistics Computer science Volatility (finance) Geology

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Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Statistical Distribution Estimation and Applications

Physical Sciences → Mathematics → Statistics and Probability

Monetary Policy and Economic Impact

Social Sciences → Economics, Econometrics and Finance → General Economics, Econometrics and Finance

Aggregation and marginalization of GARCH processes: some further results

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