In this paper we study the effect of contemporaneous aggregation of an arbitrarily large number of covariance stationary processes featuring short memory dynamic conditional heteroskedasticity, when heterogeneity is allowed for across units. We look at the memory properties of the limit aggregate. General conditions for long memory heteroskedasticity are obtained. More specific results relative to certain stochastic volatility models are also developed, providing some examples of how long memory heteroskedasticity can be obtained by aggregation. (c) 2006 Elsevier B.V. All rights reserved.
Aggregation and memory of models of changing volatility / Zaffaroni, Paolo. - In: JOURNAL OF ECONOMETRICS. - ISSN 0304-4076. - STAMPA. - 136:1(2007), pp. 237-249. [10.1016/j.jeconom.2006.03.002]
Aggregation and memory of models of changing volatility
ZAFFARONI, Paolo
2007
Abstract
In this paper we study the effect of contemporaneous aggregation of an arbitrarily large number of covariance stationary processes featuring short memory dynamic conditional heteroskedasticity, when heterogeneity is allowed for across units. We look at the memory properties of the limit aggregate. General conditions for long memory heteroskedasticity are obtained. More specific results relative to certain stochastic volatility models are also developed, providing some examples of how long memory heteroskedasticity can be obtained by aggregation. (c) 2006 Elsevier B.V. All rights reserved.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
