Geometric ergodicity of asymmetric volatility models with stochastic parameters (Q388985)
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| Language | Label | Description | Also known as |
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| English | Geometric ergodicity of asymmetric volatility models with stochastic parameters |
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Geometric ergodicity of asymmetric volatility models with stochastic parameters (English)
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17 January 2014
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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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asymmetric volatility models
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geometric ergodicity
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irreducibility
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stationarity
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stochastic parameter GARCH model
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