Search Results - subject:"temporal aggregation"

Temporal aggregation and long memory for asset price volatility

Perron, Pierre; Shi, Wendong - In: Journal of Risk and Financial Management 13 (2020) 8, pp. 1-18

The effects of temporal aggregation and choice of sampling frequency are of great interest in modeling the dynamics of … asset price volatility. We show how the squared low-frequency returns can be expressed in terms of the temporal aggregation … of a high-frequency series. Based on the theory of temporal aggregation, we provide the link between the spectral density …

Persistent link: https://www.econbiz.de/10012611390

A persistence‐based Wold‐type decomposition for stationary time series

Ortu, Fulvio; Severino, Federico; Tamoni, Andrea; … - In: Quantitative economics : QE ; journal of the … 11 (2020) 1, pp. 203-230

This paper shows how to decompose weakly stationary time series into the sum, across time scales, of uncorrelated components associated with different degrees of persistence. In particular, we provide an Extended Wold Decomposition based on an isometric scaling operator that makes averages of...

Persistent link: https://www.econbiz.de/10012202240

Temporal aggregation and long memory for asset price volatility

Perron, Pierre; Shi, Wendong - In: Journal of risk and financial management : JRFM 13 (2020) 8/182, pp. 1-18

Persistent link: https://www.econbiz.de/10012321959

Estimation of impulse response functions when shocks are observed at a higher frequency than outcome variables

Chudik, Alexander; Georgiadis, Georgios - 2019

This paper proposes mixed-frequency distributed-lag (MFDL) estimators of impulse response functions (IRFs) in a setup where (i) the shock of interest is observed, (ii) the impact variable of interest is observed at a lower frequency (as a temporally aggregated or sequentially sampled variable),...

Persistent link: https://www.econbiz.de/10012142151