A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES
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Publication:3408529
DOI10.1017/S0266466606060476zbMATH Open1125.62106MaRDI QIDQ3408529FDOQ3408529
Authors: Mika Meitz 
Publication date: 14 November 2006
Published in: Econometric Theory (Search for Journal in Brave)
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Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Augmented GARCH\((p,q)\) process and its diffusion limit
- Stationarity of GARCH processes and of some nonnegative time series
- Properties of moments of a family of GARCH processes
- Stationarity and the existence of moments of a family of GARCH processes.
Cited In (11)
- ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
- Asymptotics for semi-strong augmented GARCH(1,1) model
- Stationarity of a family of GARCH processes
- Stationarity of GARCH processes and of some nonnegative time series
- Title not available (Why is that?)
- Stationarity and the existence of moments of a family of GARCH processes.
- Renorming volatilities in a family of GARCH models
- Bootstrapping Autoregression under Non-stationary Volatility
- Root-\(T\) consistent density estimation in GARCH models
- Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes
- A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
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