DSpace at EWHA: Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility

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DC Field	Value	Language
dc.contributor.author	이외숙	*
dc.contributor.author	신동완	*
dc.date.accessioned	2016-08-28T11:08:25Z	-
dc.date.available	2016-08-28T11:08:25Z	-
dc.date.issued	2004	*
dc.identifier.issn	0165-1765	*
dc.identifier.other	OAK-12808	*
dc.identifier.uri	https://dspace.ewha.ac.kr/handle/2015.oak/228879	-
dc.description.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.	*
dc.language	English	*
dc.title	Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility	*
dc.type	Article	*
dc.relation.issue	2	*
dc.relation.volume	84	*
dc.relation.index	SSCI	*
dc.relation.index	SCOPUS	*
dc.relation.startpage	167	*
dc.relation.lastpage	173	*
dc.relation.journaltitle	Economics Letters	*
dc.identifier.doi	10.1016/j.econlet.2003.11.021	*
dc.identifier.scopusid	2-s2.0-3042642178	*
dc.author.google	Lee O.	*
dc.author.google	Shin D.W.	*
dc.contributor.scopusid	이외숙(8425708300)	*
dc.contributor.scopusid	신동완(7403352539)	*
dc.date.modifydate	20240116115756	*