ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS

Journal of Time Series Analysis

Volumn 9, Issue 2, 1988, Pages 121-131

  Bollerslev, Tim ^a  

^a NORTHWESTERN UNIVERSITY   (United States)

Author keywords

autocorrelation structure; GARCH; model identification

Indexed keywords

EID: 84981376905     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.1988.tb00459.x     Document Type: Article

References (16)

1. Generalized autoregressive conditional heteroskedasticity
2. Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation
3. Modelling the persistence of conditional variances
4. Small‐sample properties of ARCH estimators and tests
5. On the autocorrelation structure and identification of some bilinear time series
6. Comparison of criteria for estimating the order of a vector autoregressive process
7. Diagnostic checking ARMA time series models using squared‐residual autocorrelations
8. The moment structure of ARCH processes
9. ARMA models with ARCH errors
10. Asymptotic theory for ARCH models:Estimation and testing
11. On the stability of a heteroskedastic process