𝔖 Bobbio Scriptorium
✦   LIBER   ✦

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

✍ 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

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Temporal aggregation of equity return ti
✍ W.S. Chan; S.H. Cheung; L.X. Zhang; K.H. Wu πŸ“‚ Article πŸ“… 2008 πŸ› Elsevier Science 🌐 English βš– 144 KB

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

Temporal aggregation and systematic samp
✍ Pilar GonzΓ‘lez πŸ“‚ Article πŸ“… 1992 πŸ› John Wiley and Sons 🌐 English βš– 540 KB

## Abstract Given a structural time‐series 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.