Advanced Search
MyIDEAS: Login

On the probabilistic structure of power threshold generalized arch stochastic processes

Contents:

Author Info

  • Gonçalves, E.
  • Leite, J.
  • Mendes-Lopes, N.
Registered author(s):

    Abstract

    The aim of this paper is to develop a probabilistic study on a large and general class of conditionally heteroscedastic models, namely the δ-TGARCH processes. For this class of processes we establish necessary and sufficient conditions of strict stationarity, ergodicity and existence of moments. A discussion on the weak stationarity of an associated vectorial process, moments and weak stationarity up to the order δ of those processes is also presented. Finally, the minimal representation of a δ-TGARCH process is obtained developing, in a unique way, the corresponding conditional moment of order δ in terms of present and past observations.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.sciencedirect.com/science/article/pii/S0167715212001575
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 82 (2012)
    Issue (Month): 8 ()
    Pages: 1597-1609

    as in new window
    Handle: RePEc:eee:stapro:v:82:y:2012:i:8:p:1597-1609

    Contact details of provider:
    Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description

    Order Information:
    Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
    Web: https://shop.elsevier.com/order?id=505573&ref=505573_01_ooc_1&version=01

    Related research

    Keywords: Power TGARCH models; Minimal representation; Stationarity; Ergodicity; Stationarity up to order δ;

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:82:y:2012:i:8:p:1597-1609

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.