β-mixing and moment properties of RCA models with application to GARCH(p,q)

DOI10.1016/S0764-4442(00)00504-8zbMath0952.62079OpenAlexW1979846616MaRDI QIDQ4511650

Marine Carrasco, Xiaohong Chen

Publication date: 11 January 2001

Published in: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0764-4442(00)00504-8

zbMATH Keywords

stationarityrandom coefficient autoregressive modelsEGARCH(1,1)finiteness of higher-order momentsGARCH(p,q)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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