@article{f0f5f36ca495407792fbf435b3e0af0d,
title = "Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility",
abstract = "A nonlinear asymmetric power GARCH (p, q) model which allows a signed volatility is considered. Sufficient conditions for strict stationarity, existence of higher order moments and β-mixing with exponential decay rates are provided.",
keywords = "β-mixing, GARCH model, Moments, Stationarity",
author = "O. Lee and Shin, {D. W.}",
note = "Funding Information: The authors are very grateful for comments of a referee. The first author was supported by a grant from Korea Research Foundation (KRF 2002-015-CP0057).",
year = "2004",
month = aug,
doi = "10.1016/j.econlet.2003.11.021",
language = "English",
volume = "84",
pages = "167--173",
journal = "Economics Letters",
issn = "0165-1765",
publisher = "Elsevier",
number = "2",
}