A general property for time aggregation

نویسندگان

چکیده

We classify all functions of multivariate stochastic processes having time-series estimates that are independent data frequency. Such an estimator applied to high-frequency may be used infer properties relating low-frequency data. Our property encompasses two previously-proposed time-aggregation (with limited solutions) as different special cases. general time-aggregating satisfy a pair coupled second-order partial differential equations. derive analytic solutions for arbitrary-dimensional martingales and log-martingales. The model is similar – indeed always correspond point estimators based on expected values but we do not propose specific new forecasting model. However, unbiased efficient nth-order moments log returns, applying these results problems facing portfolio managers who re-optimise portfolios or hedge their risks at lower frequencies than the frequency which risk premia monitored.

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ژورنال

عنوان ژورنال: European Journal of Operational Research

سال: 2021

ISSN: ['1872-6860', '0377-2217']

DOI: https://doi.org/10.1016/j.ejor.2019.12.045