Properties of Moments of a Family of GARCH Processes
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Other versions of this item:
- He, Changli & Terasvirta, Timo, 1999. "Properties of moments of a family of GARCH processes," Journal of Econometrics, Elsevier, vol. 92(1), pages 173-192, September.
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More about this item
KeywordsConditional variance; heteroskedasticity; second-order dependence; stochastic volatility; time series;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-1998-10-08 (All new papers)
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