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

DOI10.1016/J.SPL.2012.01.006MaRDI QIDQ434725zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 5066273 (Why is no real title available?)
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• ARCH models as diffusion approximations
• An Exponential Continuous-Time GARCH Process
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• COGARCH as a continuous-time limit of GARCH(1,1)
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Ergodicity and exponential -mixing bounds for multidimensional diffusions with jumps
• Exponential and uniform ergodicity of Markov processes
• GARCH modelling in continuous time for irregularly spaced time series data
• Generalized autoregressive conditional heteroscedasticity
• Lévy Processes and Stochastic Calculus
• Lévy-driven CARMA processes
• Markov chains and stochastic stability
• Method of moment estimation in the COGARCH(1,1) model
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)

Cited in

(1)

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

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