B- Mixing and Moment Properties of Various GARCH, Stochastic Volatility and ACD Models.

This paper first provides some useful results on a generalized random coefficient autoregressive model and a Markov plus i.i.d. noise model. These results simultaneously imply strict staionarity, existence of higher-order moments, goemetric ergodicity and b-mixing with exponential decay rates, which are important properties for statistical inference.

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Year of publication:	1999
Authors:	Carrasco, M. ; Chen, X.
Subject:	ECONOMETRICS \| STOCHASTIC MODELS \| REGRESSION ANALYSIS

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Type of publication:	Book / Working Paper
Notes:	26 pages
Classification:	C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005780761