A Necessary And Sufficient Condition For The Strict Stationarity Of A Family Of Garch Processes
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- Meitz, Mika, 2005. "A necessary and sufficient condition for the strict stationarity of a family of GARCH processes," SSE/EFI Working Paper Series in Economics and Finance 601, Stockholm School of Economics.
References listed on IDEAS
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- Meitz, Mika & Saikkonen, Pentti, 2008.
"Ergodicity, Mixing, And Existence Of Moments Of A Class Of Markov Models With Applications To Garch And Acd Models,"
Cambridge University Press, vol. 24(05), pages 1291-1320, October.
- Meitz, Mika & Saikkonen, Pentti, 2004. "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," SSE/EFI Working Paper Series in Economics and Finance 573, Stockholm School of Economics, revised 20 Apr 2007.
- Mika Meitz & Pentti Saikkonen, 2007. "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," Economics Series Working Papers 327, University of Oxford, Department of Economics.
- Marcelo Fernandes & Marcelo Cunha Medeiros & Alvaro Veiga, 2006.
"A (semi-)parametric functional coefficient autoregressive conditional duration model,"
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535, Department of Economics PUC-Rio (Brazil).
- Fernandes, Marcelo & Medeiros, Marcelo C. & Veiga, Alvaro, 2013. "A (semi-)parametric functional coefficient autoregressive conditional duration model," Textos para discussão 343, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
- Delaigle, Aurore & Meister, Alexander & Rombouts, Jeroen, 2016. "Root-T consistent density estimation in GARCH models," Journal of Econometrics, Elsevier, vol. 192(1), pages 55-63.
More about this item
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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