V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model (Q434725): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Lévy Processes and Stochastic Calculus / rank
 
Normal rank
Property / cites work
 
Property / cites work: Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Lévy-driven CARMA processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exponential and uniform ergodicity of Markov processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank
 
Normal rank
Property / cites work
 
Property / cites work: An Exponential Continuous-Time GARCH Process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Method of moment estimation in the COGARCH(1,1) model / rank
 
Normal rank
Property / cites work
 
Property / cites work: COGARCH as a continuous-time limit of GARCH(1,1) / rank
 
Normal rank
Property / cites work
 
Property / cites work: A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5493557 / rank
 
Normal rank
Property / cites work
 
Property / cites work: GARCH modelling in continuous time for irregularly spaced time series data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Markov chains and stochastic stability / rank
 
Normal rank
Property / cites work
 
Property / cites work: ARCH models as diffusion approximations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conditional Heteroskedasticity in Asset Returns: A New Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4435813 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4937701 / rank
 
Normal rank

Latest revision as of 11:59, 5 July 2024

scientific article
Language Label Description Also known as
English
V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model
scientific article

    Statements

    V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model (English)
    0 references
    0 references
    16 July 2012
    0 references
    0 references
    continuous time asymmetric power
    0 references
    GARCH(1,1) process
    0 references
    COGARCH(1,1) process
    0 references
    uniform ergodicity
    0 references
    0 references