β-mixing and moment properties of RCA models with application to GARCH(p,q) (Q4511650)
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scientific article; zbMATH DE number 1523677
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| English | β-mixing and moment properties of RCA models with application to GARCH(p,q) |
scientific article; zbMATH DE number 1523677 |
Statements
β-mixing and moment properties of RCA models with application to GARCH(p,q) (English)
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11 January 2001
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random coefficient autoregressive models
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stationarity
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finiteness of higher-order moments
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GARCH(p,q)
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EGARCH(1,1)
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0.9043315649032592
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0.833259642124176
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0.8320617079734802
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0.8221842646598816
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0.8116887211799622
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