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On the autocorrelation properties of long memory GARCH processes

Lookup NU author(s): Professor Menelaos Karanasos

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Publication metadata

Author(s): Karanasos M, Psaradakis Z, Sola M

Publication type: Article

Publication status: Published

Journal: Journal of Time Series Analysis

Year: 2004

Volume: 25

Issue: 2

Pages: 265-281

ISSN (print): 0143-9782

ISSN (electronic): 1467-9892

Publisher: Wiley-Blackwell Publishing Ltd.

URL: http://dx.doi.org/10.1046/j.0143-9782.2003.00349.x

DOI: 10.1046/j.0143-9782.2003.00349.x

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