TEMPORAL AGGREGATION OF UNIVARIATE AND MULTIVARIATE TIME SERIES MODELS: A SURVEY

C-Tier
Journal: Journal of Economic Surveys
Year: 2008
Volume: 22
Issue: 3
Pages: 458-497

Authors (2)

Andrea Silvestrini (Banca d'Italia) David Veredas (not in RePEc)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Abstract We present a unified and up‐to‐date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail, although intuitively, the technical machinery behind the results. Some empirical applications illustrate the main issues.

Technical Details

RePEc Handle
repec:bla:jecsur:v:22:y:2008:i:3:p:458-497
Journal Field
General
Author Count
2
Added to Database
2026-01-29