Stationarity domains for -power GARCH process with heavy tails
DOI10.1016/J.SPL.2007.02.012zbMATH Open1128.62097OpenAlexW2044270162WikidataQ57274975 ScholiaQ57274975MaRDI QIDQ2467374FDOQ2467374
Authors: Fabio Bellini, Leonardo Bottolo 
Publication date: 21 January 2008
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2007.02.012
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Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Strict stationarity of generalized autoregressive processes
- Stationarity of GARCH processes and of some nonnegative time series
- Stationarity of stable power-GARCH processes.
- Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation
Cited In (5)
- Geometric ergodicity and moment conditions for a seasonal GARCH model with periodic coefficients
- On the probabilistic structure of power threshold generalized ARCH stochastic processes
- Title not available (Why is that?)
- Stationarity of stable power-GARCH processes.
- Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation
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