β-mixing and moment properties of RCA models with application to GARCH(p,q)
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Publication:4511650
DOI10.1016/S0764-4442(00)00504-8zbMath0952.62079MaRDI QIDQ4511650
Marine Carrasco, Xiaohong Chen
Publication date: 11 January 2001
Published in: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0764-4442(00)00504-8
stationarity; random coefficient autoregressive models; EGARCH(1,1); finiteness of higher-order moments; GARCH(p,q)
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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