Asymptotics for GARCH squared residual correlations.

István Berkes, Lajos Horváth, Piotr Kokoszka

Research output: Contribution to journal › Article › peer-review

Cite this

@article{fc00eb8f5a7e4dc48543970e8c67e27d,

title = "Asymptotics for GARCH squared residual correlations.",

author = "Istv{\'a}n Berkes and Lajos Horv{\'a}th and Piotr Kokoszka",

year = "2003",

language = "English",

pages = "515--540",

journal = "Econometric theory",

issn = "0266-4666",

publisher = "Cambridge University Press",

number = "19",

}