search query: @author He, C. / total: 1
reference: 1 / 1
« previous | next »
| Author: | He, C. Teräsvirta, T. |
| Title: | Properties of moments of a family of GARCH processes |
| Journal: | Journal of Econometrics
1999 : SEP, VOL. 92:1, p. 173-192 |
| Index terms: | Time series Models |
| Freeterms: | Heteroskedasticity |
| Language: | eng |
| Abstract: | This paper considers the moments of a family of first-order GARCH processes. The results apply to a number of different GARCH parameterizations. Possibilities of extending the results to higher-order GARCH processes are indicated and potential applications of the statistical theory proposed. |
« previous | next »
SCIMA