Marginalization and contemporaneous aggregation in multivariate GARCH processes

Journal of Econometrics

Volumn 71, Issue 1-2, 1996, Pages 71-87

  Nijman, Theo ^a   Sentana, Enrique ^b  

^a TILBURG UNIVERSITY   (Netherlands)

^b CEMFI   (Spain)

Author keywords

Aggregation; GARCH

Indexed keywords

EID: 0003047980     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4076(94)01695-X     Document Type: Article

References (19)

1. Attanasio, O. and M. Edey, 1987, Non-constant variances and foreign exchange risk: An empirical study, CLE discussion paper 285 (London School of Economics, London).
2. Baba, Y., R.F. Engle, D.F. Kraft, and K.F. Kroner, 1989, Multivariate simultaneous generalized ARCH, Discussion paper 89-57 (Department of Economics, University of California, San Diego, CA).
3. Bollerslev, T., 1986, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics 31, 307-327.
4. Bollerslev, T., 1988, On the correlation structure for the generalized autoregressive conditional heteroskedastic process, Journal of Time Series Analysis 9, 121-131.
5. Bollerslev, T. and R.F. Engle, 1993, Common persistence in conditional variances, Econometrica 61, 167-186.
6. Bollerslev, T. and J.M. Wooldridge, 1992, Quasi maximum likelihood estimation and inference in dynamic models with time varying covariances, Econometric Reviews 11, 143-172.
7. Bollerslev, T., R.Y. Chou, and K.F. Kroner, 1992, ARCH modeling in finance: A review of the theory and empirical evidence, Journal of Econometrics 52, 5-59.
8. Bollerslev, T., R.F. Engle, and J.M. Wooldridge, 1988, A capital asset pricing model with time varying covariances, Journal of Political Economy 96, 116-131.
9. Diebold, F.X. and M. Nerlove, 1989, The dynamics of exchange rate volatility: A multivariate latent factor ARCH model, Journal of Applied Econometrics 4, 1-22.
10. Drost, F.C. and T.E. Nijman, 1993, Temporal aggregation of GARCH processes, Econometrica 61, 909-927.
11. Engle, R.F., 1982, Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica 50, 987-1007.
12. Engle, R.F., V. Ng, and M. Rothschild, 1990, Asset pricing with a factor ARCH covariance structure: Empirical estimates of treasury bills, Journal of Econometrics 45, 213-238.
13. King, M., E. Sentana, and S. Wadhwani, 1994, Volatility and links between national stock markets, Econometrica 62, 901-934.
14. Kraft, D.F. and R.F. Engle, 1983, Autoregressive conditional heteroskedasticity in multiple time series, Unpublished manuscript (University of California, San Diego, CA).
15. Lütkepohl, H., 1984, Linear transformations of vector ARMA processes, Journal of Econometrics 26, 283-293.
16. Sentana, E., 1992, Factor representing portfolios in large asset markets, Financial Markets Group discussion paper 135 (London School of Economics, London).
17. Sentana, E., 1993, The relation between conditionally heteroskedastic latent factor models and factor GARCH models, Mimeo.
18. Weiss, A.A., 1986, Asymptotic theory for ARCH models: Estimation and testing, Econometric Theory 2, 107-131.
19. Zellner, A. and F.C. Palm, 1974, Time series analysis and simultaneous equations econometric models, Journal of Econometrics 2, 17-54.