TEMPORAL AGGREGATION OF UNIVARIATE AND MULTIVARIATE TIME SERIES MODELS: A SURVEY
β Scribed by Andrea Silvestrini; David Veredas
- Book ID
- 110940533
- Publisher
- John Wiley and Sons
- Year
- 2008
- Tongue
- English
- Weight
- 464 KB
- Volume
- 22
- Category
- Article
- ISSN
- 0950-0804
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π SIMILAR VOLUMES
With large volatility observed in stock markets around the world over the last few years, many actuaries are now being urged to employ stochastic models to measure the solvency risk generated from insurance products with equity-linked guarantees. There are a large number of potential stochastic mode
## Abstract Given a structural timeβseries model specified at a basic time interval, this paper deals with the problems of forecasting efficiency and estimation accuracy generated when the data are collected at a timing interval which is a multiple of the time unit chosen to build the basic model.