An extended constant conditional correlation GARCH model and its fourth-moment structure
Changli He and Timo Teräsvirta
| Year of publication: |
2004
|
|---|---|
| Authors: | He, Changli ; Teräsvirta, Timo |
| Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 20.2004, 5, p. 904-926
|
| Subject: | ARCH-Modell | ARCH model | Regressionsanalyse | Regression analysis | Theorie | Theory | Heteroskedastizität | Heteroscedasticity |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10002265252