Arbeitspapier
A necessary and sufficient condition for the strict stationarity of a family of GARCH processes
We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (1999a). This family contains various popular GARCH models as special cases. A necessary and sufficient condition for the existence of a strictly stationary solution is given.
- Language
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Englisch
- Bibliographic citation
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Series: SSE/EFI Working Paper Series in Economics and Finance ; No. 601
- Classification
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Subject
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GARCH
strict stationarity
Lyapunov exponent
ARCH-Modell
Ökonometrisches Modell
- Event
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Geistige Schöpfung
- (who)
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Meitz, Mika
- Event
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Veröffentlichung
- (who)
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Stockholm School of Economics, The Economic Research Institute (EFI)
- (where)
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Stockholm
- (when)
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2005
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Meitz, Mika
- Stockholm School of Economics, The Economic Research Institute (EFI)
Time of origin
- 2005
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