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ArticleThe moment structure of ARCH processes

Anders Milhøj1985

Article1985

The moment structure of ARCH processes

160 citations·0/0 files stored·Scandinavian Journal of Statistics

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Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis Time Series Analysis and Forecasting

Abstract

On considere les aspects de serie temporelle d'une classe de modeles introduits par Engle (1982)

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1995Time Series Analysis, Forecasting, and Control 1983Estimates of the Variance of U. S. Inflation Based upon the ARCH Model 1984ARMA MODELS WITH ARCH ERRORS

Cited by

1993Adaptive Estimation in ARCH Models 1999FOURTH MOMENT STRUCTURE OF THE GARCH( p , q ) PROCESS 1987A Conditional Variance Model for Daily Deviations of an Exchange Rate 1997A new non-linear GARCH model 1999On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model 2009Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes 1995The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data 2007LONG MEMORY TESTING IN THE TIME DOMAIN

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Details

Year1985

Typearticle

Published1985-01-01

VenueScandinavian Journal of Statistics

ISSN-L0303-6898

Languageen

Citations160

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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openalex_workW167654094

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