MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS

DOI10.1017/S0266466602181023zbMath1181.62125OpenAlexW2056075622MaRDI QIDQ4807280

Marine Carrasco, Xiaohong Chen

Publication date: 18 May 2003

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

Full work available at URL: https://doi.org/10.1017/s0266466602181023

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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