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Modeling multiple regimes in financial volatility with a flexible coefficient GARCH (1,1) model
Medeiros, Marcelo C.; Veiga, Alvaro - In: Econometric theory 25 (2009) 1, pp. 117-161
Persistent link: https://www.econbiz.de/10003816219
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An extended constant conditional correlation GARCH model and its fourth-moment structure
He, Changli; Teräsvirta, Timo - In: Econometric theory 20 (2004) 5, pp. 904-926
Persistent link: https://www.econbiz.de/10002265252
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Moment stucture of a family of first-order exponential GARCH models
He, Changli; Teräsvirta, Timo; Malmsten, Hans - In: Econometric theory 18 (2002) 4, pp. 868-885
Persistent link: https://www.econbiz.de/10001687472
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Fourth moment structure of the GARCH(p,q) process
He, Changli; Teräsvirta, Timo - In: Econometric theory 15 (1999) 6, pp. 824-846
Persistent link: https://www.econbiz.de/10001507480
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AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
He, Changli; Teräsvirta, Timo - In: Econometric theory 20 (2004) 5, pp. 904-926
Persistent link: https://www.econbiz.de/10006962814
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Moment Structure of a Family of First-Order Exponential GARCH Models
He, Changli; Teräsvirta, Timo; Malmsten, Hans - In: Econometric theory 18 (2002) 4, pp. 868-885
Persistent link: https://www.econbiz.de/10006973198
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ARTICLES - Fourth Moment Structure of the GARCH (p, q) Process
He, Changli; Teräsvirta, Timo - In: Econometric theory 15 (1999) 6, pp. 824-846
Persistent link: https://www.econbiz.de/10006985950