Zaffaroni, Paolo (2001) Aggregation and memory of models of changing volatility. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. (Working papers (Warwick Business School. Financial Econometrics Research Centre)).

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Abstract

In this paper we study the effect of contemporaneous aggregation of an arbitrarily large number of processes featuring dynamic conditional heteroskedasticity with short memory when heterogeneity across units is allowed for. We look at the memory properties of the limit aggregate. General, necessary, conditions for long memory are derived. More specific results relative to certain stochastic volatility models are also developed, providing some examples of how long memory volatility can be obtained by aggregation.

Item Type:	Working or Discussion Paper (Working Paper)
Subjects:	H Social Sciences > HB Economic Theory
Divisions:	Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre Faculty of Social Sciences > Warwick Business School
Library of Congress Subject Headings (LCSH):	Stochastic analysis, Aggregation operators, Heteroscedasticity
Series Name:	Working papers (Warwick Business School. Financial Econometrics Research Centre)
Publisher:	Warwick Business School, Financial Econometrics Research Centre
Place of Publication:	Coventry
Date:	August 2001
Number:	No.02-
Number of Pages:	37
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access
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URI:	http://wrap.warwick.ac.uk/id/eprint/1802

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