Probabilistic and statistical properties of GARCH processes

István Berkes; Lajos Horváth; Piotr Kokoszka

Probabilistic and statistical properties of GARCH processes

István Berkes, Lajos Horváth, Piotr Kokoszka

Institute of Statistics (5060)

Research output: Chapter in Book/Report/Conference proceeding › Chapter

Original language	English
Title of host publication	Asymptotic methods in stochastics: Festschrift for Miklós Csörgö
Editors	Lajos Horváth, Barbara Szyszkowicz
Publisher	American Mathematical Society
Pages	409-429
Volume	44
ISBN (Print)	0-8218-3561-0
Publication status	Published - 2004

Publication series

Name	Fields Institute communications
Publisher	American Mathematical Soc.

Development and Applications of Statistical Models
Hörmann, S., Stadlober, E., Berkes, I. & Friedl, H.
1/03/03 → …
Project: Research area
Asymptotic and Statistical Analysis of Time Series in Economy and Finance
Hörmann, S., Schauer, J., Berkes, I. & Jirak, J. M.
1/01/02 → …
Project: Research area

Cite this

Probabilistic and statistical properties of GARCH processes. / Berkes, István; Horváth, Lajos; Kokoszka, Piotr.
Asymptotic methods in stochastics: Festschrift for Miklós Csörgö. ed. / Lajos Horváth; Barbara Szyszkowicz. Vol. 44 American Mathematical Society, 2004. p. 409-429 (Fields Institute communications).

Research output: Chapter in Book/Report/Conference proceeding › Chapter

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title = "Probabilistic and statistical properties of GARCH processes",

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

year = "2004",

language = "English",

isbn = "0-8218-3561-0",

volume = "44",

series = "Fields Institute communications",

publisher = "American Mathematical Society",

pages = "409--429",

editor = "Lajos Horv{\'a}th and Barbara Szyszkowicz",

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TY - CHAP

T1 - Probabilistic and statistical properties of GARCH processes

AU - Berkes, István

AU - Horváth, Lajos

AU - Kokoszka, Piotr

PY - 2004

Y1 - 2004

M3 - Chapter

SN - 0-8218-3561-0

VL - 44

T3 - Fields Institute communications

SP - 409

EP - 429

BT - Asymptotic methods in stochastics: Festschrift for Miklós Csörgö

A2 - Horváth, Lajos

A2 - Szyszkowicz, Barbara

PB - American Mathematical Society

ER -

Probabilistic and statistical properties of GARCH processes

Publication series

Projects

Development and Applications of Statistical Models

Asymptotic and Statistical Analysis of Time Series in Economy and Finance

Cite this