Geometric ergodicity of asymmetric volatility models with stochastic parameters (Q388985)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Geometric ergodicity of asymmetric volatility models with stochastic parameters |
scientific article; zbMATH DE number 6247259
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Geometric ergodicity of asymmetric volatility models with stochastic parameters |
scientific article; zbMATH DE number 6247259 |
Statements
Geometric ergodicity of asymmetric volatility models with stochastic parameters (English)
0 references
17 January 2014
0 references
The authors introduce various asymmetric volatility GARCH models with stationary and ergodic coefficients, and establish their geometric ergodicity.
0 references
asymmetric volatility models
0 references
geometric ergodicity
0 references
irreducibility
0 references
stationarity
0 references
stochastic parameter GARCH model
0 references
0.89834267
0 references
0.8926205
0 references
0.8796742
0 references
0.87691355
0 references
0.8765532
0 references
0.8757286
0 references
