Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility

DOI10.1016/J.ECONLET.2003.11.021zbMath1254.91674OpenAlexW2060705818MaRDI QIDQ1927544

Oesook Lee, Dong Wan Shin

Publication date: 1 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2003.11.021

zbMATH Keywords

momentsstationarityGARCH model\(\beta \)-mixing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (4)

Uniformly strong consistency and Berry-Esseen bound of frequency polygons for α-mixing samples ⋮ Bahadur representation of linear kernel quantile estimator of VaR under \(\alpha \)-mixing assumptions ⋮ A note on the Bahadur representation of sample quantiles for \(\alpha \)-mixing random variables ⋮ MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS

Cites Work

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• On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS

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