FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2001806364> ?p ?o ?g. }

• W2001806364 endingPage "29" @default.
• W2001806364 startingPage "16" @default.
• W2001806364 abstract "This article analyses the statistical properties of that general class of conditional heteroscedasticity models in which the conditional variance is a linear function of squared lags of the process. GARCH, IGARCH, FIGARCH, and a newly proposed generalization, the HYGARCH model, belong to this class. Conditions are derived for the existence of second and fourth moments, and for the limited memory condition of near-epoch dependence. The HYGARCH model is applied to 10 daily dollar exchange rates, and also to data for Asian exchange rates over the 1997 crisis period. In the latter case, the model exhibits notable stability across the pre-crisis and post-crisis periods." @default.
• W2001806364 created "2016-06-24" @default.
• W2001806364 creator A5044199763 @default.
• W2001806364 date "2004-01-01" @default.
• W2001806364 modified "2023-10-14" @default.
• W2001806364 title "Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model" @default.
• W2001806364 cites W1969960895 @default.
• W2001806364 cites W1973694910 @default.
• W2001806364 cites W1979575715 @default.
• W2001806364 cites W1980541697 @default.
• W2001806364 cites W1989374756 @default.
• W2001806364 cites W1990948861 @default.
• W2001806364 cites W1999814123 @default.
• W2001806364 cites W1999996900 @default.
• W2001806364 cites W2012071978 @default.
• W2001806364 cites W2016287239 @default.
• W2001806364 cites W2019245901 @default.
• W2001806364 cites W2021760340 @default.
• W2001806364 cites W2023240121 @default.
• W2001806364 cites W2025051992 @default.
• W2001806364 cites W2053933740 @default.
• W2001806364 cites W2061521831 @default.
• W2001806364 cites W2065194732 @default.
• W2001806364 cites W2077115352 @default.
• W2001806364 cites W2086624954 @default.
• W2001806364 cites W2094419294 @default.
• W2001806364 cites W2102140545 @default.
• W2001806364 cites W2105009836 @default.
• W2001806364 cites W2109594009 @default.
• W2001806364 cites W2123807460 @default.
• W2001806364 cites W2144529031 @default.
• W2001806364 cites W2157895285 @default.
• W2001806364 cites W2890265597 @default.
• W2001806364 cites W3125998202 @default.
• W2001806364 doi "https://doi.org/10.1198/073500103288619359" @default.
• W2001806364 hasPublicationYear "2004" @default.
• W2001806364 type Work @default.
• W2001806364 sameAs 2001806364 @default.
• W2001806364 citedByCount "346" @default.
• W2001806364 countsByYear W20018063642012 @default.
• W2001806364 countsByYear W20018063642013 @default.
• W2001806364 countsByYear W20018063642014 @default.
• W2001806364 countsByYear W20018063642015 @default.
• W2001806364 countsByYear W20018063642016 @default.
• W2001806364 countsByYear W20018063642017 @default.
• W2001806364 countsByYear W20018063642018 @default.
• W2001806364 countsByYear W20018063642019 @default.
• W2001806364 countsByYear W20018063642020 @default.
• W2001806364 countsByYear W20018063642021 @default.
• W2001806364 countsByYear W20018063642022 @default.
• W2001806364 countsByYear W20018063642023 @default.
• W2001806364 crossrefType "journal-article" @default.
• W2001806364 hasAuthorship W2001806364A5044199763 @default.
• W2001806364 hasBestOaLocation W20018063642 @default.
• W2001806364 hasConcept C101104100 @default.
• W2001806364 hasConcept C105795698 @default.
• W2001806364 hasConcept C121332964 @default.
• W2001806364 hasConcept C134306372 @default.
• W2001806364 hasConcept C139719470 @default.
• W2001806364 hasConcept C149782125 @default.
• W2001806364 hasConcept C162324750 @default.
• W2001806364 hasConcept C163175372 @default.
• W2001806364 hasConcept C177148314 @default.
• W2001806364 hasConcept C179254644 @default.
• W2001806364 hasConcept C21430997 @default.
• W2001806364 hasConcept C23922673 @default.
• W2001806364 hasConcept C2776988154 @default.
• W2001806364 hasConcept C33923547 @default.
• W2001806364 hasConcept C74650414 @default.
• W2001806364 hasConcept C91602232 @default.
• W2001806364 hasConceptScore W2001806364C101104100 @default.
• W2001806364 hasConceptScore W2001806364C105795698 @default.
• W2001806364 hasConceptScore W2001806364C121332964 @default.
• W2001806364 hasConceptScore W2001806364C134306372 @default.
• W2001806364 hasConceptScore W2001806364C139719470 @default.
• W2001806364 hasConceptScore W2001806364C149782125 @default.
• W2001806364 hasConceptScore W2001806364C162324750 @default.
• W2001806364 hasConceptScore W2001806364C163175372 @default.
• W2001806364 hasConceptScore W2001806364C177148314 @default.
• W2001806364 hasConceptScore W2001806364C179254644 @default.
• W2001806364 hasConceptScore W2001806364C21430997 @default.
• W2001806364 hasConceptScore W2001806364C23922673 @default.
• W2001806364 hasConceptScore W2001806364C2776988154 @default.
• W2001806364 hasConceptScore W2001806364C33923547 @default.
• W2001806364 hasConceptScore W2001806364C74650414 @default.
• W2001806364 hasConceptScore W2001806364C91602232 @default.
• W2001806364 hasIssue "1" @default.
• W2001806364 hasLocation W20018063641 @default.
• W2001806364 hasLocation W20018063642 @default.
• W2001806364 hasOpenAccess W2001806364 @default.
• W2001806364 hasPrimaryLocation W20018063641 @default.
• W2001806364 hasRelatedWork W1651042598 @default.
• W2001806364 hasRelatedWork W2010398270 @default.
• W2001806364 hasRelatedWork W2028173644 @default.
• W2001806364 hasRelatedWork W2148444061 @default.
• W2001806364 hasRelatedWork W2189000303 @default.
• W2001806364 hasRelatedWork W2747611385 @default.
• W2001806364 hasRelatedWork W2767482094 @default.

• next