Necessary and sufficient restrictions for existence of a unique fourth moment of a univariate GARCH(p,q) process
Year of publication: |
2005
|
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Authors: | Zadrozny, Peter A. |
Publisher: |
Munich : Center for Economic Studies and ifo Institute (CESifo) |
Subject: | ARCH-Modell | Momentenmethode | Theorie | state-space form | Lyapunov equations | nonnegative and irreducible matrices |
Series: | CESifo Working Paper ; 1505 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 500529302 [GVK] hdl:10419/18969 [Handle] |
Classification: | C32 - Time-Series Models ; G12 - Asset Pricing ; C63 - Computational Techniques |
Source: |
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Zadrozny, Peter A., (2005)
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