Geometric ergodicity of asymmetric volatility models with stochastic parameters (Q388985)
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scientific article; zbMATH DE number 6247259
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| English | Geometric ergodicity of asymmetric volatility models with stochastic parameters |
scientific article; zbMATH DE number 6247259 |
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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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0.89834267
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0.8936121
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0.8926205
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0.8796742
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0.87691355
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0.8765532
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0.8757286
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