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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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Properties of the autocorrelation function of squared observations for second order GARCH processes under two sets of parameter constraints
He, Changli - In: Statistical properties of GARCH processes, (pp. 87-102). 1997
Persistent link: https://www.econbiz.de/10001301556
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Fourth moment structure of the GARCH (p, q) process
He, Changli - In: Statistical properties of GARCH processes, (pp. 57-86). 1997
Persistent link: https://www.econbiz.de/10001301557
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Properties of the autocorrelation function of squared observations for second order GARCH processes under two sets of parameter constraints
He, Changli; Teräsvirta, Timo - 1997
Persistent link: https://www.econbiz.de/10000960149
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An extended constant conditional correlation GARCH model and its fourth-moment-structure
He, Changli (contributor); Teräsvirta, Timo (contributor) - 2002 - [Elektronische Ressource]
The constant conditional correlation GARCH model is probably the most frequently applied multivariate GARCH model. In this paper we consider an extension to this model and examine its fourth-moment structure. The extension, first considered by Jeantheau (1998), is motivated by the result found...
Persistent link: https://www.econbiz.de/10001693116
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An extended constant conditional correlation GARCH model and its fourth-moment structure
He, Changli; Teräsvirta, Timo - In: Econometric theory 20 (2004) 5, pp. 904-926
Persistent link: https://www.econbiz.de/10002265252