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On stationarity and β-mixing property of certain nonlinear GARCH(p,q) models

Title: On stationarity and β-mixing property of certain nonlinear GARCH(p,q) models

Authors: Lee O.; Shin D.W.

Ewha Authors: 이외숙; 신동완

SCOPUS Author ID: 이외숙; 신동완

Issue Date: 2005

Journal Title: Statistics and Probability Letters

ISSN: 0167-7152

Citation: Statistics and Probability Letters vol. 73, no. 1, pp. 25 - 35

Indexed: SCIE; SCOPUS

Document Type: Article

Abstract: Certain types of nonlinear GARCH (p, q) model which allows a signed volatility are considered. Sufficient conditions for strict stationarity and β-mixing with exponential decay rates are provided. © 2005 Elsevier B.V. All rights reserved.

DOI: 10.1016/j.spl.2005.02.011

Appears in Collections:: 자연과학대학 > 통계학전공 > Journal papers

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