کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5097526 1376594 2007 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Aggregation and memory of models of changing volatility
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Aggregation and memory of models of changing volatility
چکیده انگلیسی
In this paper we study the effect of contemporaneous aggregation of an arbitrarily large number of covariance stationary processes featuring short memory dynamic conditional heteroskedasticity, when heterogeneity is allowed for across units. We look at the memory properties of the limit aggregate. General conditions for long memory heteroskedasticity are obtained. More specific results relative to certain stochastic volatility models are also developed, providing some examples of how long memory heteroskedasticity can be obtained by aggregation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 136, Issue 1, January 2007, Pages 237-249
نویسندگان
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