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FOURTH MOMENT STRUCTURE OF THE GARCH( p , q ) PROCESS

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References

1993ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING786 cited
1996Statistical aspects of ARCH and stochastic volatility749 cited
1992Inequality Constraints in the Univariate GARCH Model611 cited
1999ARCH Models and Financial Applications417 cited
19967 GARCH models of volatility173 cited
1985The moment structure of ARCH processes160 cited

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2004AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE110 cited
2005On linear processes with dependent innovations104 cited
2002MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS103 cited
2003DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS94 cited
2009Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes92 cited
2006Recent Advances in ARCH Modelling76 cited
2006A Mixture Multiplicative Error Model for Realized Volatility75 cited
2005A re-examination of the asymmetric power ARCH model72 cited
2002Maximum likelihood estimation of STAR and STAR‐GARCH models: theory and Monte Carlo evidence71 cited

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2002ARCH-type bilinear models with double long memory71 cited

2001Empirical process of the squared residuals of an arch\n\t\t\t sequence69 cited

2005Monitoring disruptions in financial markets67 cited

2006A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL63 cited

2003Moments of the ARMA–EGARCH model59 cited

2004Stylized Facts of Financial Time Series and Three Popular Models of Volatility57 cited

2007Parameterizing Unconditional Skewness in Models for Financial Time Series54 cited