On stationarity of the periodic AGARCH processes

DOI10.1515/ROSE-2014-0027zbMath1316.60050OpenAlexW2328906190MaRDI QIDQ2260446

Ines Lescheb

Publication date: 10 March 2015

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose-2014-0027

zbMATH Keywords

stationarityLyapunov exponentstochastic difference equationperiodic AGARCH processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Stochastic difference equations (39A50)

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