Contemporaneous aggregation of GARCH processes
By: by Paolo Zaffaroni.
Series: Temi di discussione del Servizio studi -- no. 449; Temi di discussione -- 449.
Publisher: Banca d'Italia
Published: 2002
Place of publication: Roma
Language: eng
Number of pages: 52
Subjects: Stocks -- Prices -- Mathematical models.; Heteroscedasticity.; Time-series analysis.
Notes: Includes bibliographical references (p. 49-52).