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Contemporaneous aggregation of GARCH processes
| File | Description | Size | Format | |
|---|---|---|---|---|
 Contemporaneous aggregation of GARCH.pdf | default | 323.04 kB | Adobe PDF | View/Open |
| Title: | Contemporaneous aggregation of GARCH processes |
| Authors: | Zaffaroni, P |
| Item Type: | Journal Article |
| Issue Date: | 1-Jul-2007 |
| Citation: | J TIME SER ANAL Vol.( 28 ) No.( 4 ) pp 521 - 544 |
| URI: | http://hdl.handle.net/10044/1/646 |
| Publisher Link: | http://dx.doi.org/10.1111/j.1467-9892.2006.00522.x |
| DOI: | 10.1111/j.1467-9892.2006.00522.x |
| ISSN: | 0143-9782 |
| Start Page: | 521 |
| End Page: | 544 |
| Copyright Statement: | © 2006 Blackwell Publishing Ltd. The definitive version is available at www.blackwell-synergy.com |
| Volume: | 28 |
| Appears in Collections: | Imperial College Business School |