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
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
Journal title :
Economics Letters
