effects of using a variation of selection criteria under different temporal aggregation levels. We don¢t spend our attention …

In this paper we feature state-of-the-art econometric methodology of temporal aggregation for univariate linear time … series, namely ARIMA-GARCH models. We present a unified overview of temporal aggregation techniques for this broad class of …

PBCs being only a developing country phenomena - a conclusion which might have been affected by temporal aggregation - and …

is based on a temporal aggregation analysis and it can help to highlight some features in the data. Copyright Springer …

frequencies. The issue of temporal aggregation is examined in two ways. We initially show that those changes do not seem to have … significantly altered the univariate time-series properties of aggregates or previous conclusions about the impacts of temporal … aggregation on those properties; therefore, the aggregation of economic flows into annual figures is once more found to involve …

temporal aggregation. A simple autocovariance function based method is proposed for choosing the “optimal” sampling frequency …

The effects of systematic sampling and temporal aggregation on the seasonal cycle model (see Miron, 1993) and the … seasonally integrated process (see Hylleberg et al., 1990) are discussed. The temporal aggregation theory is used to improve the …Seasonal Unit Roots Testing Based on the Temporal Aggregation Seasonal Cycles Gabriel Pons Rotger Working Paper No …

This paper derives results for the temporal aggregation of multivariate GARCH processes in the general vector … specification. It is shown that the class of weak multivariate GARCH processes is closed under temporal aggregation. Fourth moment …Temporal Aggregation of Multivariate GARCH Processes Christian M. Hafner1 Econometric Institute Report EI 2004 …