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Author: Massimiliano Marcellino
Publisher:
ISBN:
Category : Invariants
Languages : en
Pages : 43
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Author: Massimiliano Marcellino
Publisher:
ISBN:
Category : Invariants
Languages : en
Pages : 43
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Book Description
Author: Massimiliano Giuseppe Marcellino
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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We derive the generating mechanism of a temporally aggregated process when the original one belongs to the ARMA class. We then study the effects of temporal aggregation on a set of characteristics of usual interest such as exogeneity, causality, cointegration and common features. An empirical example illustrates the main issues.
Author: Cezary Aleksander Kapuscinski
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 706
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Author: Ceylan Yozgatligil
Publisher:
ISBN: 9781109933444
Category : Statistics
Languages : en
Pages : 225
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The time series data used are generally sums over time of data generated more frequently than the reporting interval. In this research, we focused on the effect of temporal aggregation on a vector autoregressive moving average (VARMA) model structure, a cointegration relationship, the causality, and multiplicative seasonal VARMA processes.
Author: Frank Myron Bass
Publisher:
ISBN:
Category : Advertising
Languages : en
Pages : 44
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Author: Xing Jin
Publisher:
ISBN:
Category :
Languages : en
Pages : 19
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The function form of a linear intertemporal relation between risk and return is suggested by Merton's (1973) analytical work for instantaneous returns, whereas empirical studies have examined the nature of this relation using temporally aggregated data, i.e., daily, monthly, quarterly, or even yearly returns. Our paper carefully examines the temporal aggregation effect on the validity of the linear specification of the risk-return relation at discrete horizons, and on its implications on the reliablility of the resulting inference about the risk-return relation based on different observation intervals. Surprisingly, we show that, based on the standard Heston's (1993) dynamics, the linear relation between risk and return will not be distorted by the temporal aggregation at all. Neither will the sign of this relation be flipped by the temporal aggregation, even at the yearly horizon. This finding excludes the temporal aggregation issue as a potential source for the conflicting empirical evidence about the risk-return relation in the earlier studies.
Author: Rachel S. Franklin
Publisher: Springer Nature
ISBN: 9811392315
Category : Business & Economics
Languages : en
Pages : 277
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This volume is devoted to the geographical—or spatial—aspects of population research in regional science, spanning spatial demographic methods for population composition and migration to studies of internal and international migration to investigations of the role of population in related fields such as climate change and economic growth. If spatial aspects of economic growth and development are the flagship of the regional science discipline, population research is the anchor. People migrate, consume, produce, and demand services. People are the source and beneficiaries of national, regional, and local growth and development. Since the origins of regional science, demographic research has been at the core of the discipline. Contributions in this volume are both retrospective and prospective, offering in their ensemble an authoritative overview of demographic research within the field of regional science.
Author: Namwon Hyung
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 260
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Author: Hoon Chae
Publisher:
ISBN:
Category : Forecasting
Languages : en
Pages : 268
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Author: Ka Sing Man
Publisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 322
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