Temporal aggregation of multivariate GARCH processes

Hafner, Christian M. . Journal of Econometrics 2008. 142 (1) :467-483

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Bibtex

@article{CIS-248905,
  Author = {Hafner, Christian M.},
  Title = {Temporal aggregation of multivariate GARCH processes},
  Journal = {Journal of Econometrics},
  Volume = {142},
  Number = {1},
  Year = {2008},
  Pages = {467--483},
  Keywords = {Weak GARCH}
}

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