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Stationarity of stable power-GARCH processes

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Author Info
Mittnik, Stefan
Paolella, Marc S.
Rachev, Svetlozar T.
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 106 (2002)
Issue (Month): 1 (January)
Pages: 97-107
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Handle: RePEc:eee:econom:v:106:y:2002:i:1:p:97-107

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  1. Wei Sun & Svetlozar Rachev & Frank Fabozzi & Petko Kalev, 2009. "A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence," Empirical Economics, Springer, vol. 36(1), pages 201-229, February. [Downloadable!] (restricted)
  2. Peter Zadrozny, 2005. "Necessary and Sufficient Restrictions for Existence of a Unique Fourth Moment of a Univariate GARCH(p,q) Process," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
  3. Stefan Mittnik & Marc S. Paolella, 2003. "Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions," CFS Working Paper Series 2003/04, Center for Financial Studies. [Downloadable!]
  4. Mohammed Bouaddi & Jeroen V.K. Rombouts, 2007. "Mixed Exponential Power Asymmetric Conditional Heteroskedasticity," Cahiers de recherche 0749, CIRPEE. [Downloadable!]
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