Temporal Aggregation of Univariate and Multivariate Time Series Models: A Survey
SSRN Electronic JournalPublished 1 January 2008Open access
Andrea Silvestrini, David Veredas
Citations166
Generate an AI Snapshot to get a quick, structured summary of this paper.
Study Snapshot
ObjectiveStudy objective
MethodsResearch methodology
PopulationPopulation studied
Sample sizeSample sizes
OutcomesStudy outcomes here
ResultsStudy results comes here
LimitationsResearch study limitations comes here
A concise AI-generated summary of the paper will appear here once you click Generate AI Snapshot.
Abstract
We present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail how these techniques are employed. Some empirical applications illustrate the main issues.
Keywords
MathematicsEconomics, Econometrics and Finance
EconometricaInvestigating Causal Relations by Econometric Models and Cross-spectral Methods
22,877 Citations1969Clive W. J. Granger
Journal of EconometricsGeneralized autoregressive conditional heteroskedasticity
22,300 Citations1986Tim Bollerslev
Journal of Business and Economic StatisticsDynamic Conditional Correlation
7,066 Citations2002Robert F. Engle
Princeton University Press eBooksThe Econometrics of Financial Markets
6,168 Citations2012John Y. Campbell, Andrew W. Lo +1 more
New Introduction to Multiple Time Series Analysis
5,786 Citations2005Helmut Lütkepohl
This reference work and graduate level textbook considers a wide range of models and methods for analyzing and forecasting multiple time series, which include vector autoregressive, cointegrated, vector Autoregressive moving average, multivariate ARCH and periodic processes as well as dynamic simultaneous equations and state space models.
Cambridge University Press eBooksInvestigating Causal Relations by Econometric Models and Cross-Spectral Methods
4,797 Citations2010Clive W. J. Granger
Econometric TheoryMultivariate Simultaneous Generalized ARCH
4,564 Citations1995Robert F. Engle, Kenneth F. Kroner
The Review of Economics and StatisticsModelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model
3,539 Citations1990Tim Bollerslev
Journal of Political EconomyA Capital Asset Pricing Model with Time-Varying Covariances
3,194 Citations1988Tim Bollerslev, Robert F. Engle +1 more
Journal of EconometricsSome recent development in a concept of causality
2,938 Citations1988Clive W. J. Granger
RePEc: Research Papers in EconomicsMultivariate GARCH models: a survey
2,042 CitationsLuc Bauwens, Sébastien Laurent +1 more
The Review of Economics and StatisticsThe Generalized Dynamic-Factor Model: Identification and Estimation
1,715 Citations2000Mario Forni, Marc Hallin +2 more
Review of Financial StudiesModeling Asymmetric Comovements of Asset Returns
1,547 Citations1998Kenneth F. Kroner, Victor Ng
Journal of EconometricsLong memory relationships and the aggregation of dynamic models
1,466 Citations1980Clive W. J. Granger
TechnometricsTime Series Analysis: Univariate and Multivariate Methods
1,255 Citations1991Alice Z. Chuang, William W. S. Wei
This work presents a meta-modelling framework for estimating the modeled properties of the Shannon filter, which automates the very labor-intensive and therefore time-heavy process of Fourier analysis.
Journal of Business and Economic StatisticsA Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations
1,208 Citations2002Yiu‐Kuen Tse, Albert K. Tsui
Cambridge University Press eBooksNonlinear Time Series Models in Empirical Finance
1,130 Citations2000Philip Hans Franses, Dick van Dijk
Journal of the European Economic AssociationRisk Aversion, Wealth, and Background Risk
1,063 Citations2008Luigi Guiso, Monica Paiella
Cambridge University Press eBooksTesting for Causality: A Personal Viewpoint
753 Citations2010Clive W. J. Granger
Tests based on the definitions of causality are considered and the use of post-sample data emphasized, rather than relying on the same data to fit a model and use it to test causality.
Journal of EconometricsCausality in temporal systems
608 Citations1977David A. Pierce, Larry D. Haugh
American Economic ReviewOn the Evolution of Firm Size Distributions
519 Citations2008Paolo Angelini, Andrea Generale
Journal of Applied EconometricsGO‐GARCH: a multivariate generalized orthogonal GARCH model
482 Citations2002Roy van der Weide
A band-pass filter includes a first filter, a second filter, and switching elements that can short-circuit either one of the first and second filters.
Econometric TheorySTRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS
462 Citations1998Thierry Jeantheau
European Journal of Political EconomyThe effects of fiscal policy in Italy: Evidence from a VAR model
372 Citations2007Raffaela Giordano, Sandro Momigliano +2 more
Cambridge University Press eBooksLong Memory Relationships and the Aggregation of Dynamic Models
363 Citations2008Clive W. J. Granger
Journal of Urban EconomicsEvaluating the impact of investment incentives: The case of Italy's Law 488/1992
331 Citations2006Raffaello Bronzini, Guido de Blasio
Journal of the Royal Statistical Society Series A (General)Time Series Modelling and Interpretation
322 Citations1976Clive W. J. Granger, Martin Morris
The possibility that a complicated looking model could have arisen from a simpler situation is explored and some suggestions made about the possible interpreta- tion of some models that appear to arise in practice.
SSRN Electronic JournalService Regulation and Growth: Evidence from OECD Countries
319 Citations2008Guglielmo Barone, Federico Cingano
Applied EconomicsThe economic consequences of euro-area macro-modelling shortcuts
310 Citations2008Libero Monteforte, Stefano Siviero
Journal of Multivariate AnalysisAsymptotic theory for multivariate GARCH processes
310 Citations2003Fabienne Comte, Offer Lieberman
Journal of Industrial EconomicsDISTANCE, BANK HETEROGENEITY AND ENTRY IN LOCAL BANKING MARKETS<sup>*</sup>
299 Citations2008Roberto Felici, Marcello Pagnini
American Economic ReviewSocial Interactions in High School: Lessons from an Earthquake
293 Citations2007Piero Cipollone, Alfonso Rosolia
Journal of Regional ScienceOPENNESS TO TRADE AND INDUSTRY COST DISPERSION: EVIDENCE FROM A PANEL OF ITALIAN FIRMS*
293 Citations2008Massimo Del Gatto, Gianmarco I.P. Ottaviano +1 more
SSRN Electronic JournalEmerging Markets Spreads and Global Financial Conditions
292 Citations2007Alessio Ciarlone, Paolo Piselli +1 more
SSRN Electronic JournalPortfolio Selection with Monotone Mean-Variance Preferences
288 Citations2008Fabio Maccheroni, Mássimo Marinacci +2 more
International Journal of Finance & EconomicsMonetary policy shocks in the euro area and global liquidity spillovers
279 Citations2007João Sousa, Andrea Zaghini
Archivio istituzionale della ricerca (Alma Mater Studiorum Università di Bologna)Outward FDI and Local Employment Growth in Italy
279 Citations2008Stefano Federico, Gaetano Alfredo Minerva
SSRN Electronic JournalWhat's Behind 'Inflation Perceptions'? A Survey-Based Analysis of Italian Consumers
277 Citations2008Paolo Del Giovane, Silvia Fabiani +1 more
Journal of Economic SurveysRecent Theoretical Results for Time Series Models with GARCH Errors
273 Citations2002W. K. Li, Shiqing Ling +1 more
Some recent theoretical results for time series models with GARCH errors are provided, and various new ARCH-type models, including double threshold ARCH and GARCH, ARFIMA-GARCH, CHARMA and vector ARMA-Garch are reviewed.
SSRN Electronic JournalWhat are Borders Made of? An Analysis of Barriers to European Banking Integration
267 Citations2008Massimiliano Affinito, GianMatteo Piazza
Labour EconomicsEntry regulations and labour market outcomes: Evidence from the Italian retail trade sector
260 Citations2007Eliana Viviano
Journal of Business and Economic StatisticsSome Consequences of Temporal Aggregation in Empirical Analysis
257 Citations1999Massimiliano Marcellino
Journal of Monetary EconomicsOptimal monetary policy under low trend inflation
255 Citations2007Guido Ascari, Tiziano Ropele
SSRN Electronic JournalExploring Agent-Based Methods for the Analysis of Payment Systems: A Crisis Model for StarLogo TNG
252 Citations2008Luca Arciero, Claudia Biancotti +2 more
Edward Elgar Publishing eBooksHousehold Wealth Distribution in Italy in the 1990s
252 Citations2006Andrea Brandolini, Luigi Cannari +2 more
Journal of MacroeconomicsDoes wealth affect consumption? Evidence for Italy
250 Citations2007Monica Paiella
SSRN Electronic JournalDirected Matching with Endogenous Markov Probability: Clients or Competitors?
247 Citations2010Emanuela Ciapanna
Empirical EconomicsItalian households’ debt: the participation to the debt market and the size of the loan
247 Citations2006Silvia Magri
Journal of money credit and bankingIs There a Cost Channel of Monetary Policy Transmission? An Investigation into the Pricing Behavior of 2,000 Firms
244 Citations2006Eugenio Gaiotti, Alessandro Secchi
Journal of the European Economic AssociationDoes the Ilo Definition Capture All Unemployment?
238 Citations2006Andrea Brandolini, Piero Cipollone +1 more
Applied EconomicsAre there asymmetries in the response of bank interest rates to monetary shocks?
234 Citations2007Leonardo Gambacorta, Simonetta Iannotti
Review of Income and WealthMEASUREMENT ERROR IN THE BANK OF ITALY'S SURVEY OF HOUSEHOLD INCOME AND WEALTH
233 Citations2008Claudia Biancotti, Giovanni D’Alessio +1 more
Review of Financial StudiesThe Forgone Gains of Incomplete Portfolios
229 Citations2007Monica Paiella
Memory for prices and the euro cash changeover: an analysis for cinema prices in Italy
229 Citations2008Vincenzo Cestari, Paolo Del Giovane +1 more
Journal of EconometricsClosing the GARCH gap: Continuous time GARCH modeling
226 Citations1996Feike C. Drost, Bas J. M. Werker
Labour EconomicsIdentifying the effects of firing restrictions through size-contingent differences in regulation
225 Citations2007Fabiano Schivardi, Roberto Torrini
Economic NotesInformation Technology and Productivity Changes in the Banking Industry
224 Citations2007Luca Casolaro, Giorgio Gobbi
SSRN Electronic JournalFamily Succession and Firm Performance: Evidence from Italian Family Firms
220 Citations2008Marco Cucculelli, Giacinto Micucci
SSRN Electronic JournalWhat Does a Technology Shock Do? A VAR Analysis with Model-Based Sign Restrictions
219 Citations2006Luca Dedola, Stefano Neri
European Finance ReviewInformational Barriers to Entry into Credit Markets
217 Citations2006Marcello Bofondi, Giorgio Gobbi
Regional StudiesFDI Inflows, Agglomeration and Host Country Firms' Size: Evidence from Italy
212 Citations2007Raffaello Bronzini
SSRN Electronic JournalMemory for Prices and the Euro Cash Changeover: An Analysis for Cinema Prices in Italy
210 Citations2007Vincenzo Cestari, Paolo Del Giovane +1 more
Regional Science and Urban EconomicsChanges in transport and non-transport costs: Local vs global impacts in a spatial network
208 Citations2007Kristian Behrens, Andrea Lamorgese +2 more
Journal of Economic Dynamics and ControlMonetary policy, learning and the speed of convergence
205 Citations2006Giuseppe Ferrero
Oxford Bulletin of Economics and StatisticsConvergence of Prices and Rates of Inflation*
205 Citations2006Fabio Busetti, Silvia Fabiani +1 more
Applied EconomicsMonetary policy shocks in the new EU members: a VAR approach
204 Citations2007Alessio Anzuini, Aviram Levy
Journal of Policy ModelingReal-time determinants of fiscal policies in the euro area
202 Citations2006Roberto Golinelli, Sandro Momigliano
Journal of Population EconomicsProduction and consumption externalities of human capital: an empirical study for Italy
197 Citations2005Alberto Dalmazzo, Guido de Blasio
SSRN Electronic JournalMeasurement of Income Distribution in Supranational Entities: The Case of the European Union
194 Citations2007Andrea Brandolini
Applied EconomicsMonetary policy effects: new evidence from the Italian flow-of-funds
194 Citations2008Francesco Columba, Riccardo Bonci
Economic NotesDo Market‐based Indicators Anticipate Rating Agencies? Evidence for International Banks
188 Citations2006DI Cesare Antonio
SSRN Electronic JournalOpenness to Trade and Industry Cost Dispersion: Evidence from a Panel of Italian Firms
185 Citations2007Massimo Del Gatto, Gianmarco I.P. Ottaviano +1 more
Empirical EconomicsAssessing the predictive power of financial spreads in the euro area: does parameters instability matter?
185 Citations2006Andrea Nobili
Journal of EconometricsAggregation of space-time processes
178 Citations2003Raffaella Giacomini, Clive W. J. Granger
EconometricaDiscrete Approximations to Continuous Time Distributed Lags in Econometrics
176 Citations1971Christopher A. Sims
Journal of Economics and BusinessRevisiting the empirical evidence on firms’ money demand
174 Citations2006Francesca Lotti, Juri Marcucci
SSRN Electronic JournalMonetary Policy in a Monetary Union: What Role for Regional Information?
174 Citations2008Paolo Angelini, Paolo Del Giovane +2 more
SSRN Electronic JournalHousing Market Spillovers: Evidence from an Estimated DSGE Model
172 Citations2008Matteo Iacoviello, Stefano Neri
The Journal of Economic InequalityA polarization of inequality? The distribution of national Gini coefficients 1970–1996
171 Citations2005Claudia Biancotti
Journal of EconometricsSystematic sampling and temporal aggregation in time series models
170 Citations1984Andrew Weiss
SSRN Electronic JournalDid Inflation Really Soar After the Euro Cash Changeover? Indirect Evidence from ATM Withdrawals
167 Citations2006Paolo Angelini, Francesco Lippi
Journal of the American Statistical AssociationThe Effect of Aggregation on Prediction in the Autoregressive Model
166 Citations1972Takeshi Amemiya, Roland Y. Wu
From such an aggregate model, the optimal predictor of the aggregate variable is derived and it performs remarkably well compared to the optimal disaggregate predictor.
Lecture notes in economics and mathematical systemsForecasting Aggregated Vector ARMA Processes
164 Citations1987Helmut Lütkepohl
Economic ModellingAggregation bias in macro models: Does it matter for the euro area?
163 Citations2006Libero Monteforte
This paper suggests a representation of the aggregation error based on unobservable components and explicitly conceived for aggregations over a small number of economies for the euro area.
SSRN Electronic JournalRevisiting the Empirical Evidence on Firms' Money Demand
159 Citations2006Francesca Lotti, Juri Marcucci
What’s behind “inflation perceptions”? A survey-based analysis of Italian consumers
158 Citations2008Paolo Del Giovane, Silvia Fabiani +1 more
Measurement of income distribution in supranational entities: the case of the European Union
155 Citations2007Andrea Brandolini
SSRN Electronic JournalChanges in Transport and Non Transport Costs: Local vs. Global Impacts in a Spatial Network
152 Citations2007Kristian Behrens, Gianmarco I.P. Ottaviano +2 more
RePEc: Research Papers in EconomicsMonetary Union with Voluntary Participation -super-1
149 CitationsWilliam Fuchs, Francesco Lippi
Asset Pricing with a FACTOR-ARCH Covariance Structure: Empirical Estimates for Treasury Bills
145 Citations1995Robert F. Engle, Victor Ng +1 more
SSRN Electronic JournalInformation Variables for Monetary Policy in a Small Structural Model of the Euro Area
145 Citations2003Francesco Lippi, Stefano Neri
Journal of Applied EconometricsTests of seasonal integration and cointegration in multivariate unobserved component models
143 Citations2006Fabio Busetti
SSRN Electronic JournalInformation Technology and Productivity Changes in the Banking Industry
143 Citations2003Luca Casolaro, Giorgio Gobbi
The results show that both cost and profit frontier shifts are strongly correlated with IT capital accumulation, and banks adopting IT capital-intensive techniques are also more efficient.
Journal of Business and Economic StatisticsTemporal Aggregation and Economic Time Series
142 Citations1995Robert J. Rossana, John J. Seater
…