Title of article
Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility
Author/Authors
O. Lee، نويسنده , , D. W. Shin، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2004
Pages
7
From page
167
To page
173
Abstract
A nonlinear asymmetric power GARCH (p, q) model which allows a signed volatility is considered. Sufficient conditions for strict stationarity, existence
Keywords
GARCH model , Moments , h-mixing , Stationarity
Journal title
Economics Letters
Serial Year
2004
Journal title
Economics Letters
Record number
435465
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