A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES
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Cites work
- Augmented GARCH\((p,q)\) process and its diffusion limit
- Generalized autoregressive conditional heteroscedasticity
- Properties of moments of a family of GARCH processes
- Stationarity and the existence of moments of a family of GARCH processes.
- Stationarity of GARCH processes and of some nonnegative time series
Cited in
(11)- Renorming volatilities in a family of 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
- Stationarity of GARCH processes and of some nonnegative time series
- Asymptotics for semi-strong augmented GARCH(1,1) model
- scientific article; zbMATH DE number 2185988 (Why is no real title available?)
- Root-\(T\) consistent density estimation in GARCH models
- Stationarity of a family of GARCH processes
- Bootstrapping Autoregression under Non-stationary Volatility
- Stationarity and the existence of moments of a family of GARCH processes.
- A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
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