On the structure of generalized threshold arch processes

The aim of this paper is to develop probabilistic studies, useful for applications, namely in what concerns the implementation and validation of subsequent statistical methods. More precisely, we establish new conditions on the stationarity and ergodicity of the GTARCH model and obtain a unique representation of its conditional volatility in terms of present and past observations. A minimal definition of a GTARCH process is then deduced.

MoreLess

Year of publication:	2010
Authors:	Gonçalves, E. ; Mendes-Lopes, N.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 80.2010, 7-8, p. 573-580
Publisher:	Elsevier

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008551128