On the probabilistic structure of power threshold generalized ARCH stochastic processes

DOI10.1016/J.SPL.2012.04.014MaRDI QIDQ449026zbMATH OpenOpenAlexFDO

Authors E. Gonçalves, J. Leite, N. Mendes-Lopes

Publication date 11 September 2012

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

Full work available at URL https://doi.org/10.1016/j.spl.2012.04.014

zbMATH Keywords

ergodicityminimal representationpower TGARCH modelsstationaritystationarity up to order \(\delta \)

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Convergence in distribution of products of random matrices
• Estimation and tests for power-transformed and threshold GARCH models
• GARCH processes: structure and estimation
• Generalized autoregressive conditional heteroscedasticity
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• On the structure of generalized threshold ARCH processes
• Recurrence properties of Processes with stationary independent increments
• Stationarity domains for \(\delta\)-power GARCH process with heavy tails
• Stationarity of GARCH processes and of some nonnegative time series
• Stationarity of Gtarch Processes
• Stationarity of stable power-GARCH processes.
• Threshold heteroskedastic models

Cited in

(6)

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