Search Results - subject:"temporal aggregation"

Regression models with mixed sampling frequencies

Andreou, Elena; Ghysels, Eric; Kourtellos, Andros - In: Journal of Econometrics 158 (2010) 2, pp. 246-261

We study regression models that involve data sampled at different frequencies. We derive the asymptotic properties of the NLS estimators of such regression models and compare them with the LS estimators of a traditional model that involves aggregating or equally weighting data to estimate a...

Persistent link: https://www.econbiz.de/10008866526

Semiparametric Estimation of Long-Memory Volatility Dependencies

Bollerslev, T.; Wright, J.H. - 2000

Recent empirical studies have argued that the temporal dependencies in "nancialmarket volatility are best characterized by long memory, or fractionally integrated, timeseries models. Meanwhile, little is known about the properties of the semiparametric inference procedures underlying much of...

Persistent link: https://www.econbiz.de/10009475580

Temporal aggregation of stationary and nonstationary FARIMA (p, d, 0) models

Beran, Jan; Ocker, Dirk - 2000

We consider temporal aggregation of stationary and nonstationary time series with short memory, long memory and …

Persistent link: https://www.econbiz.de/10011543358

Why Aggregate Long Memory Time Series?

Souza, Leonardo Rocha - In: Econometric Reviews 27 (2008) 1-3, pp. 298-316

This article shows that, for large samples, temporally aggregating a true long memory time series (in order to get an improved estimator) may make little or no sense, as the practitioner can get virtually the same estimates as those from the aggregated series by choosing the appropriate...

Persistent link: https://www.econbiz.de/10005511884

Monitoring and forecasting annual public deficit every month: the case of France

Silvestrini, Andrea; Salto, Matteo; Moulin, Laurent; … - In: Empirical Economics 34 (2008) 3, pp. 493-524

Persistent link: https://www.econbiz.de/10005382360

Time Aggregation and the Contradictions with Causal Relationships: Can Economic Theory Come to the Rescue?

Gupta, Rangan; Komen, Kibii - Department of Economics, Faculty of Economic and … - 2008

The literature on causality takes contradictory stands regarding the direction of causal relationships based on whether one uses temporally aggregated or systematically sampled data. Using the relationship between a nominal target and the instrument used to achieve it, as an example, we show...

Persistent link: https://www.econbiz.de/10005076200

Temporal aggregation and causality in multiple time series models

Breitung, Jörg; Swanson, Norman Rasmus - 1998

examining the consequences of temporal aggregation in (possibly) Granger causal systems of variables. Our approach is to compare …

Persistent link: https://www.econbiz.de/10010309900

Temporal aggregation and causality in multiple time series models

Breitung, Jörg; Swanson, Norman Rasmus - Sonderforschungsbereich 373, Quantifikation und … - 1998

examining the consequences of temporal aggregation in (possibly) Granger causal systems of variables. Our approach is to compare …

Persistent link: https://www.econbiz.de/10010983661

Testing Uncovered Interest Parity: A Continuous-Time Approach

Diez de los Rios, Antonio; Sentana, Enrique - C.E.P.R. Discussion Papers - 2007

temporal aggregation, unlike the discrete time models in the literature. We obtain the UIP restrictions on the continuous …

Persistent link: https://www.econbiz.de/10005067657

Temporal Aggregation in Repeated Sales Models

Sommervoll, Dag - In: The Journal of Real Estate Finance and Economics 33 (2006) 2, pp. 151-165

signs of under-smoothing. Mis-measured curves have unstable estimates with respect to temporal aggregation. Two repeated … the index estimate at a given time with as much at 10–15%. The simulations reveal that varying temporal aggregation is a … temporal aggregation involves more than merely a balance between under-smoothing and over-smoothing. Efficiency questions tend …

Persistent link: https://www.econbiz.de/10005716692