Geometric ergodicity of asymmetric volatility models with stochastic parameters (Q388985): Difference between revisions

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-.1214/EJP.v18-1871
@@ Property / DOI: 10.1214/EJP.v18-1871 / rank @@
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+The authors introduce various asymmetric volatility GARCH models with stationary and ergodic coefficients, and establish their geometric ergodicity.
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+J05
@@ Property / Mathematics Subject Classification ID: 60J05 / rank @@
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+G10
@@ Property / Mathematics Subject Classification ID: 60G10 / rank @@
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+6247259
@@ Property / zbMATH DE Number: 6247259 / rank @@
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@@ Property / zbMATH Keywords @@
+asymmetric volatility models
@@ Property / zbMATH Keywords: asymmetric volatility models / rank @@
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+geometric ergodicity
@@ Property / zbMATH Keywords: geometric ergodicity / rank @@
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+irreducibility
@@ Property / zbMATH Keywords: irreducibility / rank @@
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+stationarity
@@ Property / zbMATH Keywords: stationarity / rank @@
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+stochastic parameter GARCH model
@@ Property / zbMATH Keywords: stochastic parameter GARCH model / rank @@
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+Gheorghe Stoica
@@ Property / reviewed by: Gheorghe Stoica / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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+.1214/EJP.V18-1871
@@ Property / DOI: 10.1214/EJP.V18-1871 / rank @@
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+Publication:388985