Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility
type: Item
instance of: scholarly article
title: Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility
zbMATH Open document ID: 1254.91674
author: Oesook Lee
author: Dong Wan Shin
published in: Economics Letters
publication date: 2013-01-01T00:00:00Z
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 91B82
Mathematics Subject Classification ID: 60G10
zbMATH DE Number: 6120325
zbMATH Keywords: GARCH model
zbMATH Keywords: stationarity
zbMATH Keywords: moments
zbMATH Keywords: \(\beta \)-mixing
MaRDI profile type: Publication
full work available at URL: j.econlet.2003.11.021
OpenAlex ID: W2060705818
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cites work: Mixing: Properties and examples
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cites work: Properties of moments of a family of GARCH processes
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cites work: NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
cites work: Stationarity and the existence of moments of a family of GARCH processes.
cites work: Markov chains and stochastic stability
cites work: The mixing property of bilinear and generalised random coefficient autoregressive models
DOI: 10.1016/J.ECONLET.2003.11.021
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description: scientific article; zbMATH DE number 6120325