Fourth moments of multivariate GARCH pro esses
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چکیده
منابع مشابه
Fourth Moments of Multivariate Garch Processes
This paper derives conditions for the existence of fourth moments of multivariate GARCH processes in the general vector specification and gives explicit results for the fourth moments and autocovariances of the squares and cross-products. Results are provided for the kurtosis and co-kurtosis between components. Applications of the results include the definition of impulse response functions for...
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