Bartlett's formula for a general class of nonlinear processes

DOI10.1111/j.1467-9892.2009.00623.xzbMath1224.62054OpenAlexW2165085659MaRDI QIDQ3077657

Jean-Michel Zakoian, Christian Francq

Publication date: 22 February 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/13224/1/MPRA_paper_13224.pdf

zbMATH Keywords

nonlinear time series modelssample autocorrelations: GARCH models: weak white noise

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (13)

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Cites Work

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS

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