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Fourth moment structure of the GARCH(p,q) process
He, Changli; Teräsvirta, Timo - In: Econometric theory 15 (1999) 6, pp. 824-846
Persistent link: https://www.econbiz.de/10001507480
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Estimating weak GARCH representations
Francq, Christian; Zakoïan, Jean-Michel - In: Econometric theory 16 (2000) 5, pp. 692-728
Persistent link: https://www.econbiz.de/10001533169
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Large sample distribution of weighted sums of ARCH(p) squared residual correlations
Horváth, Lajos; Kokoszka, Piotr - In: Econometric theory 17 (2001) 2, pp. 283-295
Persistent link: https://www.econbiz.de/10001568398
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Consistent estimation in cointegrated vector autoregressive models with nonlinear time trends in cointegrating relations
Saikkonen, Pentti - In: Econometric theory 17 (2001) 2, pp. 296-326
Persistent link: https://www.econbiz.de/10001568399
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Statistical inference in cointegrated vector autoregressive models with nonlinear time trends in cointegrating relations
Saikkonen, Pentti - In: Econometric theory 17 (2001) 2, pp. 327-356
Persistent link: https://www.econbiz.de/10001568400
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Stationary ARCH models : dependence structure and central limit theorem
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus - In: Econometric theory 16 (2000) 1, pp. 3-22
Persistent link: https://www.econbiz.de/10001568487
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Whittle estimation of ARCH models
Giraitis, Liudas; Robinson, Peter M. - In: Econometric theory 17 (2001) 3, pp. 608-631
Persistent link: https://www.econbiz.de/10001589340
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Asymptotics for GARCH squared residual correlations
Berkes, István; Horváth, Lajos; Kokoszka, Piotr - In: Econometric theory 19 (2003) 4, pp. 515-540
Persistent link: https://www.econbiz.de/10001777176
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Asymptotic inference for unit root processes with GARCH (1,1) errors
Ling, Shiqing; Li, Wai Keung - In: Econometric theory 19 (2003) 4, pp. 541-564
Persistent link: https://www.econbiz.de/10001777180
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Estimation of the maximal moment exponent of a GARCH (1,1) sequence
Berkes, István; Horváth, Lajos; Kokoszka, Piotr - In: Econometric theory 19 (2003) 4, pp. 565-586
Persistent link: https://www.econbiz.de/10001777182