Temporal Aggregation of Time-Series
Author:
Publisher
Physica-Verlag HD
Link
http://link.springer.com/content/pdf/10.1007/978-3-642-48666-1_2.pdf
Reference19 articles.
1. Bollerslev T (1986) Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics 31, 307–327
2. Bollerslev T (1988) On the Correlation Structure for the Generalized Autoregressive Con-ditional Heteroskedastic Process, Journal of Time Series Analysis 9, 121–131
3. Bollerslev T, Chou R Y and Kroner K F (1992) ARCH Modeling in Finance: a Review of the Theory and Empirical Evidence, Journal of Econometrics 52, 5–60
4. Brockwell P J and Davis R A (1987) Time Series: Theory and Methods, Springer
5. Davis R A and Resnick S I (1986) Limit Theory for the Sample Covariance and Correlation Functions of Moving Averages, Annals of Statistics 14, 533–558
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