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Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility

  • Lee, O.
  • Shin, D. W.
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    File URL: http://www.sciencedirect.com/science/article/B6V84-4C82CTP-3/2/dcb3485d88f79c79d3cf20ea933765c1
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 84 (2004)
    Issue (Month): 2 (August)
    Pages: 167-173

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    Handle: RePEc:eee:ecolet:v:84:y:2004:i:2:p:167-173
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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    1. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    2. Duan, Jin-Chuan, 1997. "Augmented GARCH (p,q) process and its diffusion limit," Journal of Econometrics, Elsevier, vol. 79(1), pages 97-127, July.
    3. Ling, Shiqing & McAleer, Michael, 2002. "NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS," Econometric Theory, Cambridge University Press, vol. 18(03), pages 722-729, June.
    4. He, Changli & Teräsvirta, Timo, 1997. "Properties of Moments of a Family of GARCH Processes," SSE/EFI Working Paper Series in Economics and Finance 198, Stockholm School of Economics.
    5. Carrasco, Marine & Chen, Xiaohong, 2002. "Mixing And Moment Properties Of Various Garch And Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 18(01), pages 17-39, February.
    6. Rabemananjara, R & Zakoian, J M, 1993. "Threshold Arch Models and Asymmetries in Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(1), pages 31-49, Jan.-Marc.
    7. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
    8. Ling, Shiqing & McAleer, Michael, 2002. "Stationarity and the existence of moments of a family of GARCH processes," Journal of Econometrics, Elsevier, vol. 106(1), pages 109-117, January.
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