FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS

DOI10.1017/S0266466699156032zbMath0961.62077MaRDI QIDQ4512673

Timo Teräsvirta, Changli He

Publication date: 5 June 2001

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

autocorrelation function; fourth moment

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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