Aggregation and memory of models of changing volatility

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Author(s)

Zaffaroni, P

Type

Journal Article

Date Issued

2007-01-01

Citation

J ECONOMETRICS Vol.( 136 ) No.( 1 ) pp 237 - 249

URI

http://hdl.handle.net/10044/1/645

URL

http://dx.doi.org/10.1016/j.jeconom.2006.03.002

DOI

10.1016/j.jeconom.2006.03.002

ISSN

0304-4076

Start Page

237

End Page

249

Copyright Statement

© 2006 Elsevier B.V. This is the author’s version of a work that was accepted for publication in Journal of Econometrics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Econometrics, volume 136, issue 1 (January 2007). doi: 10.1016/j.jeconom.2006.03.002.

License URL

http://www.rioxx.net/licenses/all-rights-reserved

Source Volume Number

136