V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model

DOI10.1016/j.spl.2012.01.006zbMath1242.62099MaRDI QIDQ434725

Oesook Lee

Publication date: 16 July 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.01.006

zbMATH Keywords

uniform ergodicity; COGARCH(1,1) process; continuous time asymmetric power; GARCH(1,1) process

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Cites Work

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