Geometric ergodicity and moment conditions for a seasonal GARCH delwithperiodiccoefficients

O. Lee; D. W. Shin

doi:10.1080/03610920802715032

Geometric ergodicity and moment conditions for a seasonal GARCH delwithperiodiccoefficients

O. Lee, D. W. Shin

Department of Statistics

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

4 Scopus citations

Abstract

A seasonal GARCH process with periodic coefficients is considered and conditions for periodic stationarity, geometric ergodicity, -mixing property with exponential decay rate, and existence of higher-order moments are obtained.

Original language	English
Pages (from-to)	38-51
Number of pages	14
Journal	Communications in Statistics - Theory and Methods
Volume	39
Issue number	1
DOIs	https://doi.org/10.1080/03610920802715032
State	Published - Jan 2010

Keywords

Geometric ergodicity
Higher-order moments
Mixing
Periodic coefficient
Seasonal GARCH (p, q) process
Stationarity
Uniform countable additivity condition

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10.1080/03610920802715032

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title = "Geometric ergodicity and moment conditions for a seasonal GARCH delwithperiodiccoefficients",

abstract = "A seasonal GARCH process with periodic coefficients is considered and conditions for periodic stationarity, geometric ergodicity, -mixing property with exponential decay rate, and existence of higher-order moments are obtained.",

keywords = "Geometric ergodicity, Higher-order moments, Mixing, Periodic coefficient, Seasonal GARCH (p, q) process, Stationarity, Uniform countable additivity condition",

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KW - Geometric ergodicity

KW - Higher-order moments

KW - Mixing

KW - Periodic coefficient

KW - Seasonal GARCH (p, q) process

KW - Stationarity

KW - Uniform countable additivity condition

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JO - Communications in Statistics - Theory and Methods

JF - Communications in Statistics - Theory and Methods

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Geometric ergodicity and moment conditions for a seasonal GARCH delwithperiodiccoefficients

Abstract

Keywords

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