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  • Search: subject:"conditional variance model"
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Year of publication
Subject
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GARCH 1 autocorrelation function of squared observations 1 conditional variance model 1 time series 1 volatility 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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He, Changli 1
Institution
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Economics Institute for Research (SIR), Handelshögskolan i Stockholm 1
Published in...
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SSE/EFI Working Paper Series in Economics and Finance 1
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RePEc 1
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Moments and the Autocorrelation Structure of the Exponential GARCH(p,q) Process
He, Changli - Economics Institute for Research (SIR), … - 2000
In this paper the autocorrelation structure of the Exponential GARCH(p,q) process of Nelson (1991) is considered. Conditions for the existence of any arbitrary unconditional moment are given. Furthermore, the expressions for the kurtosis and the autocorrelations of squared observations are...
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