No. 685 - Temporal aggregation of univariate and multivariate time series models: A survey

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.

Published in 2008 in: Journal of Economic Surveys, v. 22, 3, pp. 458-497