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

Title
Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility
Authors
Lee O.Shin D.W.
Ewha Authors
이외숙신동완
SCOPUS Author ID
이외숙scopus; 신동완scopus
Issue Date
2004
Journal Title
Economics Letters
ISSN
0165-1765JCR Link
Citation
Economics Letters vol. 84, no. 2, pp. 167 - 173
Indexed
SSCI; SCOPUS scopus
Document Type
Article
Abstract
A nonlinear asymmetric power GARCH (p, q) model which allows a signed volatility is considered. Sufficient conditions for strict stationarity, existence of higher order moments and β-mixing with exponential decay rates are provided. © 2004 Published by Elsevier B.V.
DOI
10.1016/j.econlet.2003.11.021
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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