Stationarity of a family of GARCH processes

DOI10.1111/j.1368-423X.2009.00294.xzbMath1178.62102MaRDI QIDQ3653360

Ji-Chun Liu

Publication date: 22 December 2009

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

strict stationarityintegrated GARCHGARCH processes family

Mathematics Subject Classification ID

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

Related Items (1)

On improved volatility modelling by fitting skewness in ARCH models

Cites Work

• Stationarity of GARCH processes and of some nonnegative time series
• Strict stationarity of generalized autoregressive processes
• Subadditive ergodic theory
• Properties of moments of a family of GARCH processes
• Moving average conditional heteroskedastic processes
• Limit theorems for products of positive random matrices
• Generalized autoregressive conditional heteroscedasticity
• Stationarity and the existence of moments of a family of GARCH processes.
• ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES
• Matrix Analysis
• Quadratic ARCH Models
• Threshold heteroskedastic models
• Threshold \(\text{Arch}(1)\) processes: Asymptotic inference

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