TY - JOUR
T1 - V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model
AU - Lee, Oesook
N1 - Funding Information:
The author is deeply grateful to the referee and the Editor for their helpful comments and suggestions that led to the improvement of this paper. The research for this paper was supported by KRF grant 2010-0015707 and 2008-531-C00018 .
PY - 2012/4
Y1 - 2012/4
N2 - A continuous time asymmetric power GARCH(1,1) model is presented and the V-uniform ergodicity and β-mixing property of the process with exponential decay rate are proved. The V-uniform ergodicity of the COGARCH(1,1) model is obtained as a special case.
AB - A continuous time asymmetric power GARCH(1,1) model is presented and the V-uniform ergodicity and β-mixing property of the process with exponential decay rate are proved. The V-uniform ergodicity of the COGARCH(1,1) model is obtained as a special case.
KW - COGARCH(1,1) process
KW - Continuous time asymmetric power GARCH(1,1) process
KW - Uniform ergodicity
UR - http://www.scopus.com/inward/record.url?scp=84856350656&partnerID=8YFLogxK
U2 - 10.1016/j.spl.2012.01.006
DO - 10.1016/j.spl.2012.01.006
M3 - Article
AN - SCOPUS:84856350656
SN - 0167-7152
VL - 82
SP - 812
EP - 817
JO - Statistics and Probability Letters
JF - Statistics and Probability Letters
IS - 4
ER -