A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES
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Publication:3408529
DOI10.1017/S0266466606060476zbMath1125.62106MaRDI QIDQ3408529
Publication date: 14 November 2006
Published in: Econometric Theory (Search for Journal in Brave)
Related Items (7)
Asymptotics for semi-strong augmented GARCH(1,1) model ⋮ RENORMING VOLATILITIES IN A FAMILY OF GARCH MODELS ⋮ Bootstrapping Autoregression under Non-stationary Volatility ⋮ Root-\(T\) consistent density estimation in GARCH models ⋮ ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS ⋮ Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes ⋮ A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model
Cites Work
- Stationarity of GARCH processes and of some nonnegative time series
- Properties of moments of a family of GARCH processes
- Augmented GARCH\((p,q)\) process and its diffusion limit
- Generalized autoregressive conditional heteroscedasticity
- Stationarity and the existence of moments of a family of GARCH processes.
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