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

István Berkes, Lajos Horváth, Piotr Kokoszka

Research output: Contribution to journalArticleResearchpeer-review

Original languageEnglish
Pages (from-to)565-586
JournalEconometric theory
Volume19
Issue number4
Publication statusPublished - 2003

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