Article ID Journal Published Year Pages File Type
1154828 Statistics & Probability Letters 2012 6 Pages PDF
Abstract

A continuous time asymmetric power GARCH(1,1) model is presented and the V-uniform ergodicity and ββ-mixing property of the process with exponential decay rate are proved. The V-uniform ergodicity of the COGARCH(1,1) model is obtained as a special case.

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Physical Sciences and Engineering Mathematics Statistics and Probability
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V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model
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