Francq, Christian; Zakoïan, Jean-Michel - 2019 - Second edition
Notes -- 1.6 Exercises -- Part I Univariate GARCH Models -- Chapter 2 GARCH(p, q) Processes -- 2.1 Definitions and … Representations -- 2.2 Stationarity Study -- 2.2.1 The GARCH(1,1) Case -- 2.2.2 The General Case -- 2.3 ARCH(∞) Representation* -- 2 ….3.1 Existence Conditions -- 2.3.2 ARCH(∞) Representation of a GARCH -- 2.3.3 Long‐Memory ARCH -- 2.4 Properties of the Marginal …