Stationarity domains for -power GARCH process with heavy tails

DOI10.1016/J.SPL.2007.02.012MaRDI QIDQ2467374zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

\(\alpha\)-stable distributionsheavy tails distributionspower GARCH modelsstrict and weak stationarity

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Generalized autoregressive conditional heteroscedasticity
• Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation
• Stationarity of GARCH processes and of some nonnegative time series
• Stationarity of stable power-GARCH processes.
• Strict stationarity of generalized autoregressive processes

Cited in

(5)

• Stationarity of stable power-GARCH processes.
• Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation
• How heavy are the tails of a stationary \(\text{HARCH}(k)\) process? A study of the moments
• On the probabilistic structure of power threshold generalized ARCH stochastic processes
• Geometric ergodicity and moment conditions for a seasonal GARCH model with periodic coefficients

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