Contemporaneous aggregation of GARCH processes

By Paolo Zaffaroni. 2007

47 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c05547ea195acd97f90f446a0baab6f018c3f46b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Remigijus Leipus
2. Liudas Giraitis
3. Donatas Surgailis
4. Piotr Fryzlewicz
5. S. Rao
6. A. Lindner
7. Lajos Horv'ath
8. Peter M. Robinson

In Finance

1. Donatas Surgailis
2. Liudas Giraitis
3. Remigijus Leipus
4. A. Lindner
5. S. Rao
6. Piotr Fryzlewicz
7. Gilles Teyssière
8. Lajos Horv'ath

Citations in the corpus

• Recent Advances in ARCH Modelling (2007, background): “Zaffaroni (2000) investigated contemporaneous aggregation of GARCH processes.”