Statistical properties of GARCH processes

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...

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Bibliographic Details
Main Author:	He, Changli
Format:	Doctoral Thesis
Language:	English
Published:	Handelshögskolan i Stockholm, Ekonomisk Statistik (ES) 1997
Subjects:	GARCH Heteroskedasticity Financial time series Econometrics Ekonometri
Online Access:	http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-850 http://nbn-resolving.de/urn:isbn:91-7258-460-2

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