Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility (Q1927544): Difference between revisions

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-.1016/j.econlet.2003.11.021
@@ Property / DOI: 10.1016/j.econlet.2003.11.021 / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.econlet.2003.11.021
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@@ Property / OpenAlex ID @@
+W2060705818
@@ Property / OpenAlex ID: W2060705818 / rank @@
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@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
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@@ Property / cites work @@
+Strict stationarity of generalized autoregressive processes
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@@ Property / cites work @@
+Q3739966
@@ Property / cites work: Q3739966 / rank @@
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@@ Property / cites work @@
+MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC  VOLATILITY MODELS
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@@ Property / cites work @@
+Q4391131
@@ Property / cites work: Q4391131 / rank @@
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@@ Property / cites work @@
+Mixing: Properties and examples
@@ Property / cites work: Mixing: Properties and examples / rank @@
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@@ Property / cites work @@
+Augmented GARCH\((p,q)\) process and its diffusion limit
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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@@ Property / cites work @@
+Properties of moments of a family of GARCH processes
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+On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
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@@ Property / cites work @@
+NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE  GARCH(<i>r</i>,<i>s</i>) AND ASYMMETRIC POWER  GARCH(<i>r</i>,<i>s</i>) MODELS
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@@ Property / cites work @@
+Stationarity and the existence of moments of a family of GARCH processes.
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@@ Property / cites work @@
+Markov chains and stochastic stability
@@ Property / cites work: Markov chains and stochastic stability / rank @@
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@@ Property / cites work @@
+The mixing property of bilinear and generalised random coefficient autoregressive models
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@@ Property / DOI @@
+.1016/J.ECONLET.2003.11.021
@@ Property / DOI: 10.1016/J.ECONLET.2003.11.021 / rank @@
+Normal rank