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| Tekijä: | He, C. Teräsvirta, T. |
| Otsikko: | Properties of moments of a family of GARCH processes |
| Lehti: | Journal of Econometrics
1999 : SEP, VOL. 92:1, p. 173-192 |
| Asiasana: | Time series Models |
| Vapaa asiasana: | Heteroskedasticity |
| Kieli: | eng |
| Tiivistelmä: | 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. |
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