English, Article, Journal or magazine article edition: Temporal aggregaton of univariate linear time series models Andrea, SILVESTRINI

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Bookmark: http://trove.nla.gov.au/version/177705
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Temporal aggregaton of univariate linear time series models
Author
  • Andrea, SILVESTRINI
Physical Description
  • preprint
Notes
  • 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 processes and we explain in detail, although intuitively, the technical machinery behind the results. An empirical application with Belgian public deficit data illustrates the main issues.
  • Temporal aggregation; ARIMA, GARCH, seasonality
  • RePEc:ctl:louvec:2005044
Language
  • English
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