Fourth-order moments of augmented arch processes

DOI10.1080/03610929708831991zbMath0920.62110OpenAlexW2084884090MaRDI QIDQ4226842

Robert M. Kunst

Publication date: 21 September 1999

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929708831991

zbMATH Keywords

conditional heteroskedasticityhigher-order momentstimes series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Exact distribution theory in statistics (62E15)

Related Items (1)

The performance of the overall tests of seasonal integration against nonstationary alternatives: A unifying approach

Cites Work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Elements of multivariate time series analysis
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