Estimation of the maximal moment exponent of a GARCH (1,1) sequence.

István Berkes, Lajos Horváth, Piotr Kokoszka

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

Cite this

@article{44a86766b02f4f1c9f5cc5a7615cfac8,

title = "Estimation of the maximal moment exponent of a GARCH (1,1) sequence.",

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

year = "2003",

language = "English",

volume = "19",

pages = "565--586",

journal = "Econometric theory",

issn = "0266-4666",

publisher = "Cambridge University Press",

number = "4",

}