Search Results - subject:"Contemporaneous aggregation"

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Comparing aggregate and disaggregate forecasts of first order moving average models

Sbrana, Giacomo; Silvestrini, Andrea - In: Statistical Papers 53 (2012) 2, pp. 255-263

Persistent link: https://www.econbiz.de/10010558288

Contemporaneous aggregation of GARCH processes

Zaffaroni, Paolo - Banca d'Italia - 2002

In this paper we study the effect of contemporaneous aggregation of heterogeneous GARCH processes as the cross …

Persistent link: https://www.econbiz.de/10005113626

Contemporaneous aggregation and long-memory property of returns and volatility in the Korean stock market

Kang, Sang Hoon; Cheong, Chongcheul; Yoon, Seong-Min - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 21, pp. 4844-4854

caused by contemporaneous aggregation. In order to assess the presence of long memory in returns and volatility, two … index series is the consequence of contemporaneous aggregation. However, this conclusion should be considered cautiously …

Persistent link: https://www.econbiz.de/10010591124

Forecasting euro area inflation: Does contemponaneous aggregration improve the forecasting performance

Hubrich, K. - de Nederlandsche Bank - 2001

Since price stability is the ESCB's primary objective, the evaluation of price development in the light of the second pillar of the ESCB's monetary policy strategy is essential. As the European Central Bank has started publishing its inflation forecast for the euro area in December 2000,...

Persistent link: https://www.econbiz.de/10005106738

Contemporaneous aggregation of GARCH processes

Zaffaroni, Paolo - London School of Economics (LSE) - 2000

We study the impact of large cross-sections of contemporaneous aggregation of GARCH processes and of dynamic GARCH …

Persistent link: https://www.econbiz.de/10010746556

Contemporaneous Aggregation of GARCH Processes

Zaffaroni, Paolo - Suntory and Toyota International Centres for Economics … - 2000

We study the impact of large cross-sections of contemporaneous aggregation of GARCH processes and of dynamic GARCH …

Persistent link: https://www.econbiz.de/10005310363