Contemporaneous aggregation of GARCH processes

Journal of Time Series Analysis

Volumn 28, Issue 4, 2007, Pages 521-544

  Zaffaroni, Paolo ^a,b  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

^b IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Common and idiosyncratic risk; Contemporaneous aggregation; Cross section asymptotic; Factor models; GARCH; Memory; Value weighted portfolio

Indexed keywords

EID: 34250671958     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2006.00522.x     Document Type: Article

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