Stationarity domains for [delta]-power Garch process with heavy tails
We show that the characterization of the strict stationarity domain for a [delta]-power stable Garch model obtained in Mittnik et al. [2002. Stationarity of stable power-GARCH processes. J. Econometrics 106, 97-107] can be extended to general innovations, regardless of the existence of their [delta]-moments. We prove some general properties of these domains and analyze some cases particularly relevant in applications
Year of publication: |
2007
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Authors: | Bellini, Fabio ; Bottolo, Leonardo |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 77.2007, 13, p. 1418-1427
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Publisher: |
Elsevier |
Keywords: | Power Garch models Strict and weak stationarity [alpha]-stable distributions Heavy tails distributions |
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