STATIONARITY AND β-MIXING PROPERTY OF A MIXTURE AR-ARCH MODELS

DOI10.4134/BKMS.2006.43.4.813MaRDI QIDQ3595728zbMATH OpenFDO

Authors Oesook Lee

Publication date 28 August 2007

Published in Bulletin of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4134/BKMS.2006.43.4.813

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(5)

• β-mixing and moment properties of RCA models with application to GARCH(p,q)
• scientific article; zbMATH DE number 774844 (Why is no real title available?)
• Mixtures of autoregressive-autoregressive conditionally heteroscedastic models: semi-parametric approach
• Mixing properties of ARCH and time-varying ARCH processes
• A mixture integer-valued ARCH model

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