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The e ff ects of aggregation on FIGARCH variances
| Content Provider | Semantic Scholar |
|---|---|
| Author | Caporin, Massimiliano |
| Copyright Year | 2002 |
| Abstract | In this work we focus on the effects of aggregation on parameters estimation and Value-at-Risk computation if the data generator follow a FIGARCH model. We present a Montecarlo experiment which shows that the memory structure is affected. In a second simulation study we compare Value-at-Risk estimates obtained by high frequency and aggregated data. We verify that aggregated data have a better performance on a loss function approach while on a statistical based test analysis high frequency data are preferred. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://eco.uninsubria.it/dipeco/documenti/Seminari/paper_caporin.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |