Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10525891 | Statistics & Probability Letters | 2005 | 11 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
O. Lee, D.W. Shin,