Necessary and Sufficient Restrictions for Existence of a Unique Fourth Moment of a Univariate GARCH(p,q) Process
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Todd, Prono, 2010. "Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper 20034, University Library of Munich, Germany.
- Haas, Markus & Mittnik, Stefan, 2008. "Multivariate regimeswitching GARCH with an application to international stock markets," CFS Working Paper Series 2008/08, Center for Financial Studies (CFS).
- Todd, Prono, 2009. "Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper 30994, University Library of Munich, Germany, revised 30 Jul 2011.
More about this item
Keywordsstate-space form; Lyapunov equations; nonnegative and irreducible matrices;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-08-13 (All new papers)
- NEP-ECM-2005-08-13 (Econometrics)
- NEP-ETS-2005-08-13 (Econometric Time Series)
- NEP-FIN-2005-08-13 (Finance)
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