Temporal aggregation of univariate and multivariate time series models: A survey

被引：104
|
作者：
Silvestrini, Andrea [1 ]
Veredas, David [2 ]
机构：
[1] Catholic Univ Louvain, B-3000 Louvain, Belgium
[2] Univ Libre Bruxelles, Brussels, Belgium
来源：
JOURNAL OF ECONOMIC SURVEYS | 2008年 / 22卷 / 03期
关键词：
temporal aggregation; ARIMA; seasonality; GARCH; vector ARMA; spurious causality; multivariate GARCH;
D O I：
10.1111/j.1467-6419.2007.00538.x
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail, although intuitively, the technical machinery behind the results. Some empirical applications illustrate the main issues.
引用
收藏
页码：458 / 497
页数：40
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