Aggregation and memory of models of changing volatility

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Title: Aggregation and memory of models of changing volatility
Author(s): Zaffaroni, P
Item Type: Journal Article
Publication Date: 1-Jan-2007
Citation: J ECONOMETRICS Vol.( 136 ) No.( 1 ) pp 237 - 249
URI: http://hdl.handle.net/10044/1/645
Publisher Link: http://dx.doi.org/10.1016/j.jeconom.2006.03.002
DOI: 10.1016/j.jeconom.2006.03.002
ISSN: 0304-4076
Start Page: 237
End Page: 249
Copyright Statement: © 2006 Elsevier B.V. This is the author’s version of a work that was accepted for publication in Journal of Econometrics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Econometrics, volume 136, issue 1 (January 2007). doi: 10.1016/j.jeconom.2006.03.002.
Volume: 136
Appears in Collections:Imperial College Business School



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