Article ID Journal Published Year Pages File Type
10525891 Statistics & Probability Letters 2005 11 Pages PDF
Abstract
Certain types of nonlinear GARCH (p,q) model which allows a signed volatility are considered. Sufficient conditions for strict stationarity and β-mixing with exponential decay rates are provided.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
On stationarity and β-mixing property of certain nonlinear GARCH(p,q) models
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