Conditional heteroskedasticity in asset returns: a new approach
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...For example, the ergodic models of Nelson (1990b) can readily be handled, provided enough moments are finite to apply the law of large numbers and central limit theorem....
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...In accordance with previous empirical findings by Chou (1988), Nelson (1990b), Pagan and Schwert (1990), and many others, the parameter estimates in (5.1) suggest a high degree of persistence in the conditional variance....
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...Theorem 2.1 also potentially applies to integrated GARCH models, as Nelson (1990a) has shown that the processes generated by these models are effectively stationary and ergodic....
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