| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1153496 | Statistics & Probability Letters | 2007 | 10 Pages |
Abstract
We show that the characterization of the strict stationarity domain for a δδ-power stable Garch model obtained in Mittnik et al. [2002. Stationarity of stable power-GARCH processes. J. Econometrics 106, 97–107] can be extended to general innovations, regardless of the existence of their δδ-moments. We prove some general properties of these domains and analyze some cases particularly relevant in applications
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Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Fabio Bellini, Leonardo Bottolo,