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The 2nd Moment and the Autocovariance function of the Squared Errors of the GARCH Model

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Author Info
Menelaos Karanasos

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Publisher Info
Paper provided by Department of Economics, Keele University in its series Keele Department of Economics Discussion Papers (1995-2001) with number 98/01.

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Date of creation: 1998
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Publication status: Published in Journal of Econometrics, 1999, Vol. 90, pages 63-76.
Handle: RePEc:kee:keeldp:98/01

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Postal: Department of Economics, University of Keele, Keele, Staffordshire, ST5 5BG - United Kingdom
Phone: +44 (0)1782 584581
Fax: +44 (0)1782 717577
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Web page: http://www.keele.ac.uk/depts/ec/cer/
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Postal: Department of Economics, Keele University, Keele, Staffordshire ST5 5BG - United Kingdom
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Web: http://www.keele.ac.uk/depts/ec/cer/pubs_kerps.htm

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  1. Menelaos Karanasos, . "Some Exact Formulae for the Constant Correlation and Diagonal M - Garch Models," Discussion Papers 00/14, Department of Economics, University of York. [Downloadable!]
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