Temporal aggregation of univariate and multivariate time series models: A survey

Journal of Economic Surveys

Volumn 22, Issue 3, 2008, Pages 458-497

  Silvestrini, Andrea ^a   Veredas, David ^b  

^a UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

^b UNIVERSITÉ LIBRE DE BRUXELLES   (Belgium)

Author keywords

ARIMA; GARCH; Multivariate GARCH; Seasonality; Spuriouscausality; Temporal aggregation; Vector ARMA

Indexed keywords

ECONOMETRICS; EMPIRICAL ANALYSIS; MODELING; MULTIVARIATE ANALYSIS; TEMPORAL ANALYSIS; TIME SERIES ANALYSIS; VARIANCE ANALYSIS; VECTOR AUTOREGRESSION;

EID: 45249122868     PISSN: 09500804     EISSN: 14676419     Source Type: Journal    
DOI: 10.1111/j.1467-6419.2007.00538.x     Document Type: Review

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