期刊
JOURNAL OF ECONOMIC SURVEYS
卷 22, 期 3, 页码 458-497出版社
BLACKWELL PUBLISHING
DOI: 10.1111/j.1467-6419.2007.00538.x
关键词
temporal aggregation; ARIMA; seasonality; GARCH; vector ARMA; spurious causality; multivariate GARCH
类别
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.
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