Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process (Q2467375)
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scientific article; zbMATH DE number 5228829
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| English | Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process |
scientific article; zbMATH DE number 5228829 |
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Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process (English)
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21 January 2008
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Markov-switching GARCH
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threshold GARCH
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weak stationarity
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strict stationarity
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existence of moments
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