AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE

DOI10.1017/S0266466604205059zbMath1071.62077MaRDI QIDQ5696353

Changli He, Timo Teräsvirta

Publication date: 18 October 2005

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

bivariate GARCH(1,1) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites Work

• Properties of moments of a family of GARCH processes
• The second moment and the autocovariance function of the squared errors of the GARCH model
• Generalized autoregressive conditional heteroscedasticity
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Common Persistence in Conditional Variances

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