Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152655 | Statistics & Probability Letters | 2010 | 8 Pages |
Abstract
The aim of this paper is to develop probabilistic studies, useful for applications, namely in what concerns the implementation and validation of subsequent statistical methods. More precisely, we establish new conditions on the stationarity and ergodicity of the GTARCH model and obtain a unique representation of its conditional volatility in terms of present and past observations. A minimal definition of a GTARCH process is then deduced.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
E. Gonçalves, N. Mendes-Lopes,