Nonstationary nonlinear heteroskedasticity

Journal of Econometrics

Volumn 110, Issue 2, 2002, Pages 383-415

  Park, Joon Y ^a  

^a Seoul National University   (South Korea)

Author keywords

ARCH; Conditional heteroskedasticity; Leptokurtosis; Nonlinearity; Nonstationarity; Volatility clustering

Indexed keywords

CORRELATION METHODS; ECONOMICS; ESTIMATION; FINANCE; FUNCTION EVALUATION; LEAST SQUARES APPROXIMATIONS; MATHEMATICAL MODELS; REGRESSION ANALYSIS; THEOREM PROVING;

HETEROGENEITY GENERATING FUNCTIONS (HGF); NONLINEAR NONSTATIONARY HETEROSKEDASTICITY (NNH);

TIME SERIES ANALYSIS;

EID: 0347354959     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(02)00100-8     Document Type: Conference Paper

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