Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process

Statistics and Probability Letters

Volumn 77, Issue 13, 2007, Pages 1428-1438

  Liu, Ji Chun ^a  

^a XIAMEN UNIVERSITY   (China)

Author keywords

Existence of moments; Markov switching GARCH; Strict stationarity; Threshold GARCH; Weak stationarity

Indexed keywords

EID: 34447524110     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spl.2007.02.009     Document Type: Article

References (23)

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