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AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
He, Changli; Ter svirta, Timo - In: Econometric Theory 20 (2004) 05, pp. 904-926
Persistent link: https://www.econbiz.de/10005250139
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MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS
He, Changli; Ter svirta, Timo; Malmsten, Hans - In: Econometric Theory 18 (2002) 04, pp. 868-885
Persistent link: https://www.econbiz.de/10005250215
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FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
He, Changli; Ter svirta, Timo - In: Econometric Theory 15 (1999) 06, pp. 824-846
Persistent link: https://www.econbiz.de/10005411745