Stationarity of stable power-GARCH processes

Journal of Econometrics

Volumn 106, Issue 1, 2002, Pages 97-107

  Mittnik, Stefan ^a   Paolella, Marc S ^a   Rachev, Svetlozar T ^b  

^a UNIVERSITY OF KIEL   (Germany)

^b UNIVERSITY OF KARLSRUHE   (Germany)

Author keywords

Asymmetry; Conditional heteroscedasticity; Financial modeling; Heavy tails; Integrated GARCH; State space representation; Stationarity

Indexed keywords

ECONOMICS; FINANCE; FUNCTIONS; MATHEMATICAL MODELS; POLYNOMIALS; STATE SPACE METHODS; TIME SERIES ANALYSIS;

ECONOMETRICS; FINANCIAL MODELING;

PARETO PRINCIPLE;

EID: 0347354954     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(01)00089-6     Document Type: Article

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