β-mixing and moment properties of RCA models with application to GARCH(p, q);Propriétés de β-mélange et de moments des modèles à coefficients aĺeatoires avec application au GARCH(p,q)

Comptes Rendus de l'Academie des Sciences - Series I: Mathematics

Volumn 331, Issue 1, 2000, Pages 85-90

  Carrasco, Marine ^a   Chen, Xiaohong ^b  

^a CREST   (France)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0034216258     PISSN: 07644442     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0764-4442(00)00504-8     Document Type: Article

References (8)

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3. Carrasco M., Chen X., β-mixing and Moment Properties of Various GARCH, Stochastic Volatility and ACD Models, Working paper number 9941, Crest, Paris, 1999.
4. Chen M., An H., A note on the stationarity and the existence of moments of the GARCH model, Statistica Sinica 8 (1998) 505-510.
5. Davydov Y., Mixing conditions for Markov chains, Th. of Probab. and Its Appl. XVIII (1973) 312-328.
6. Mokkadem A., Propriétés de mélange des modèles autoregressifs polynomiaux, Ann. Inst. Henri-Poincaré 26 (2) (1990) 219-260.
7. Nelson D., Conditional heteroskedasticity in asset returns: A new approach, Econometrica 59 (1991) 347-370.
8. Pham D.T., The mixing property of bilinear and generalized random coefficient autoregressive models, Stoch. Proc. and Their Appl. 23 (1986) 291-300.