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Marginalization and contemporaneous aggregation in multivariate GARCH processes

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  • Nijman, T.E.

    (Tilburg University, School of Economics and Management)

  • Sentana, E.

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Suggested Citation

  • Nijman, T.E. & Sentana, E., 1993. "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Other publications TiSEM 395cb9d2-89a8-4cbf-923e-c, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:395cb9d2-89a8-4cbf-923e-ced56d0ec33f
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    Cited by:

    1. Drost, Feike C. & Werker, Bas J. M., 1996. "Closing the GARCH gap: Continuous time GARCH modeling," Journal of Econometrics, Elsevier, vol. 74(1), pages 31-57, September.
    2. Drost, Feike C & Nijman, Theo E & Werker, Bas J M, 1998. "Estimation and Testing in Models Containing Both Jump and Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 237-243, April.

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