Work

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

Year: 1999

Type: article

Source: Journal of Econometrics

DOI: 10.1016/s0304-4076(98)00032-3

Author: Menelaos Karanasos

Institution: University of York

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2102140545

FWCI: 8.203

Cites: 6

Cited by: 89

Related to: 10