V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model

DOI10.1016/J.SPL.2012.01.006zbMATH Open1242.62099OpenAlexW2072576681MaRDI QIDQ434725FDOQ434725

Authors: Oesook Lee 

Publication date: 16 July 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.01.006

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zbMATH Keywords

uniform ergodicityCOGARCH(1,1) processcontinuous time asymmetric powerGARCH(1,1) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps
• Exponential and uniform ergodicity of Markov processes
• COGARCH as a continuous-time limit of GARCH(1,1)
• GARCH modelling in continuous time for irregularly spaced time series data
• Method of moment estimation in the COGARCH(1,1) model
• An Exponential Continuous-Time GARCH Process
• Title not available (Why is that?)

Cited In (1)

• Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility

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