Properties of the autocorrelation function of squared observations for second order GARCH processes under two sets of parameter constraints
Changli He ; Timo Teräsvirta
| Year of publication: |
1997
|
|---|---|
| Authors: | He, Changli ; Teräsvirta, Timo |
| Institutions: | Ekonomiska forskningsinstitutet <Stockholm> (contributor) |
| Publisher: |
Stockholm : Economic Research Inst. |
| Subject: | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Heteroskedastizität | Heteroscedasticity | Autokorrelation | Autocorrelation |
| Extent: | 18 S. : graph. Darst |
|---|---|
| Series: | Working paper series in economics and finance. - Stockholm, ISSN 1104-4705, ZDB-ID 2544046-9. - Vol. 169 |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10000960149