Properties of moments of a family of GARCH processes
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Publication:1302764
DOI10.1016/S0304-4076(98)00089-XzbMath0929.62093OpenAlexW2067385432MaRDI QIDQ1302764
Publication date: 31 January 2000
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00089-x
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cites Work
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- Moving average conditional heteroskedastic processes
- Generalized autoregressive conditional heteroscedasticity
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- Conditional Heteroskedasticity in Asset Returns: A New Approach
- FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
- Quadratic ARCH Models
- Threshold heteroskedastic models
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