V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model

Oesook Lee

doi:10.1016/j.spl.2012.01.006

V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model

Oesook Lee

Department of Statistics

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

1 Scopus citations

Abstract

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.

Original language	English
Pages (from-to)	812-817
Number of pages	6
Journal	Statistics and Probability Letters
Volume	82
Issue number	4
DOIs	https://doi.org/10.1016/j.spl.2012.01.006
State	Published - Apr 2012

Bibliographical note

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 .

Keywords

COGARCH(1,1) process
Continuous time asymmetric power GARCH(1,1) process
Uniform ergodicity

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10.1016/j.spl.2012.01.006

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abstract = "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.",

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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

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ER -

V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model

Abstract

Bibliographical note

Keywords

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