Covariance stationary GARCH-family models with long memory property

O. Lee; H. M. Kim

doi:10.1016/j.jkss.2007.07.001

Covariance stationary GARCH-family models with long memory property

O. Lee, H. M. Kim

Department of Statistics

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

We propose simple models which extend GARCH model and find regions of coefficients on which the given process is nonnegative covariance stationary and has long memory property.

Original language	English
Pages (from-to)	29-35
Number of pages	7
Journal	Journal of the Korean Statistical Society
Volume	37
Issue number	1
DOIs	https://doi.org/10.1016/j.jkss.2007.07.001
State	Published - Mar 2008

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title = "Covariance stationary GARCH-family models with long memory property",

abstract = "We propose simple models which extend GARCH model and find regions of coefficients on which the given process is nonnegative covariance stationary and has long memory property.",

author = "O. Lee and Kim, \{H. M.\}",

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JO - Journal of the Korean Statistical Society

JF - Journal of the Korean Statistical Society

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Covariance stationary GARCH-family models with long memory property

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