On stationarity and \(\beta\)-mixing property of certain nonlinear \(\text{GARCH}(p,q)\) models

DOI10.1016/j.spl.2005.02.011zbMath1125.62335OpenAlexW1608653531MaRDI QIDQ2573987

Oesook Lee, Dong-won Shin

Publication date: 25 November 2005

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2005.02.011

zbMATH Keywords

moments\(\beta\)-mixingstationarityGARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

ADAPTIVE DENSITY ESTIMATION FOR GENERAL ARCH MODELS ⋮ Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models ⋮ ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS

Cites Work

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• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
• Threshold heteroskedastic models

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