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

We present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail how these techniques are employed. Some empirical applications illustrate the main issues.

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Year of publication:	2008-08
Authors:	Silvestrini, Andrea ; Veredas, David
Institutions:	Banca d'Italia
Subject:	Temporal aggregation \| ARIMA \| Seasonality \| GARCH \| Vector ARMA \| Spurious causality \| Multivariate GARCH

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Extent:	application/pdf
Series:	Temi di discussione (Economic working papers).
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 685
Classification:	C10 - Econometric and Statistical Methods: General. General ; C22 - Time-Series Models ; C32 - Time-Series Models ; C43 - Index Numbers and Aggregation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005609326