Statistical properties of GARCH processes
This dissertation contains five chapters. An introduction and a summary of the research are given in Chapter 1. The other four chapters present theoretical results on the moment structure of GARCH processes. Some chapters also contain empirical examples in order to illustrate applications of the the...
Main Author: | |
---|---|
Format: | Doctoral Thesis |
Language: | English |
Published: |
Handelshögskolan i Stockholm, Ekonomisk Statistik (ES)
1997
|
Subjects: | |
Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-850 http://nbn-resolving.de/urn:isbn:91-7258-460-2 |