Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model

Journal of Business and Economic Statistics

Volumn 22, Issue 1, 2004, Pages 16-29

  Davidson, James ^a  

^a CARDIFF UNIVERSITY   (United Kingdom)

Author keywords

ARCH(infinity); Exchange rate; FIGARCH; Hyperbolic lag; Near epoch dependence

Indexed keywords

EID: 0742324055     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500103288619359     Document Type: Article

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