Stationarity of GARCH processes and of some nonnegative time series

DOI10.1016/0304-4076(92)90067-2zbMath0746.62087OpenAlexW1986788466MaRDI QIDQ1185109

Publication date: 28 June 1992

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(92)90067-2

zbMATH Keywords

necessary and sufficient condition time series models GARCH processes existence of a strictly stationary solution generalized multivariate autoregressive equations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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