{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,2]],"date-time":"2026-10-02T00:46:15Z","timestamp":1790901975317,"version":"4.1.0"},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"4","license":[{"start":{"date-parts":[[2002,5,17]],"date-time":"2002-05-17T00:00:00Z","timestamp":1021593600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2002,8]]},"abstract":"<jats:p>In this paper we consider the moment structure of a class of \nfirst-order exponential generalized autoregressive conditional \nheteroskedasticity (GARCH) models. This class contains as special \ncases both the standard exponential GARCH model and the symmetric \nand asymmetric logarithmic GARCH model. Conditions for the \nexistence of any arbitrary moment are given. Furthermore, the \nexpressions for the kurtosis and the autocorrelations of positive \npowers of absolute-valued observations are derived. The properties \nof the autocorrelation structure are discussed and compared \nto those of the standard first-order GARCH process. In particular, \nit is seen that, contrary to the standard GARCH case, the decay \nrate of the autocorrelations of squared errors is not constant \nand that the rate can be quite rapid in the beginning, depending \non the parameters of the model.<\/jats:p>","DOI":"10.1017\/s0266466602184039","type":"journal-article","created":{"date-parts":[[2002,11,14]],"date-time":"2002-11-14T22:02:47Z","timestamp":1037311367000},"page":"868-885","source":"Crossref","is-referenced-by-count":77,"title":["MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH \nMODELS"],"prefix":"10.1017","volume":"18","author":[{"given":"Changli","family":"He","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Timo","family":"Ter\u00e4svirta","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Hans","family":"Malmsten","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2002,5,17]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466602184039","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,1]],"date-time":"2019-04-01T19:28:29Z","timestamp":1554146909000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466602184039\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2002,5,17]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2002,8]]}},"alternative-id":["S0266466602184039"],"URL":"https:\/\/doi.org\/10.1017\/s0266466602184039","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2002,5,17]]}}}