Geometric ergodicity of asymmetric volatility models with stochastic parameters
نویسندگان
چکیده
منابع مشابه
Geometric ergodicity of asymmetric volatility models with stochastic parameters
In this paper, we consider a general family of asymmetric volatility models with stationary and ergodic coefficients. This family can nest several non-linear asymmetric GARCH models with stochastic parameters into its ambit. It also generalizes Markovswitching GARCH and GJR models. The geometric ergodicity of the proposed process is established. Sufficient conditions for stationarity and existe...
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ژورنال
عنوان ژورنال: Electronic Journal of Probability
سال: 2013
ISSN: 1083-6489
DOI: 10.1214/ejp.v18-1871