Stationarity and the existence of moments of a family of GARCH processes.

DOI10.1016/S0304-4076(01)00090-2zbMATH Open1043.62073MaRDI QIDQ1858910FDOQ1858910

Publication date: 17 February 2003

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

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Stationarity of a family of GARCH processes
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scientific article; zbMATH DE number 2185988
Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes

ergodicity stationarity GARCH existence of moments

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

Cites Work

Generalized autoregressive conditional heteroscedasticity
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Quadratic ARCH Models
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Stationarity of GARCH processes and of some nonnegative time series
Properties of moments of a family of GARCH processes
NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
Threshold heteroskedastic models
Title not available (Why is that?)
Moving average conditional heteroskedastic processes
Title not available (Why is that?)
The second moment and the autocovariance function of the squared errors of the GARCH model

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