On the probabilistic structure of power threshold generalized ARCH stochastic processes

DOI10.1016/J.SPL.2012.04.014zbMath1282.62127OpenAlexW2132399097MaRDI QIDQ449026

Nazaré Mendes Lopes, Esmeralda Gonçalves, Joana Leite

Publication date: 11 September 2012

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

Full work available at URL: https://doi.org/10.1016/j.spl.2012.04.014

zbMATH Keywords

ergodicitystationarityminimal representationpower TGARCH modelsstationarity up to order \(\delta \)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (1)

On the Distribution Estimation of Power Threshold Garch Processes

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