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The second moment and the autocovariance function of the squared errors of the GARCH model

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References

1986Generalized autoregressive conditional heteroskedasticity22,329 cited
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1993A long memory property of stock market returns and a new model3,257 cited
2007Modelling Financial Time Series1,415 cited
1996Modeling volatility persistence of speculative returns: A new approach818 cited
1987Modelling financial time series282 cited

Cited by

2006Recent Advances in ARCH Modelling76 cited
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2002ARCH-type bilinear models with double long memory71 cited
2003Moments of the ARMA–EGARCH model59 cited
2004STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELS49 cited
2004SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE47 cited
2011Financial Economics, Fat-Tailed Distributions40 cited
2001Prediction in ARMA Models with GARCH in Mean Effects36 cited
2002Moments and dynamic structure of a time‐varying parameter stochastic volatility in mean model34 cited

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2001A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors34 cited

2003Stability of random coefficient ARCH models and aggregation schemes30 cited

2005Necessary and Sufficient Restrictions for Existence of a Unique Fourth Moment of a Univariate Garch(p28 cited

2009ARCH(∞) Models and Long Memory Properties27 cited

2017The volatility of Bitcoin returns and its correlation to financial markets26 cited