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

Title
V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model
Authors
Lee O.
Ewha Authors
이외숙
SCOPUS Author ID
이외숙scopus
Issue Date
2012
Journal Title
Statistics and Probability Letters
ISSN
0167-7152JCR Link
Citation
vol. 82, no. 4, pp. 812 - 817
Indexed
SCIE; SCOPUS WOS scopus
Abstract
A continuous time asymmetric power GARCH(1,1) model is presented and the V-uniform ergodicity and β-mixing property of the process with exponential decay rate are proved. The V-uniform ergodicity of the COGARCH(1,1) model is obtained as a special case. © 2012 Elsevier B.V.
DOI
10.1016/j.spl.2012.01.006
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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