Temporal aggregation of random walk processes and implications for economic analysis
Yamin S Ahmad, Ivan Paya
| Year of publication: |
2020
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|---|---|
| Authors: | Ahmad, Yamin S. ; Payá, Ivan |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 24.2020, 2, p. 1-20
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| Subject: | conditional heteroskedasticity | random walk | temporal aggregation | variance ratio | Random Walk | Random walk | Theorie | Theory | Aggregation | Zeitreihenanalyse | Time series analysis | Heteroskedastizität | Heteroscedasticity |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2017-0102 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012198637