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~isPartOf:"Economics Series Working Papers / Department of Economics, Oxford University"
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Search: subject:"generalized autoregressive conditional heteroskedasticity"
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Existence of Moments
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Generalized Autoregressive Conditional Heteroskedasticity
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Stability of nonlinear AR-GARCH models
Meitz, Mika
;
Saikkonen, Pentti
-
Department of Economics, Oxford University
-
2007
generalized
autoregressive
conditional
heteroskedasticity
(GARCH(1,1)) model. Conditions under which the model is stable in the …
Persistent link: https://www.econbiz.de/10004977882
Saved in:
2
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models
Meitz, Mika
;
Saikkonen, Pentti
-
Department of Economics, Oxford University
-
2007
to a general model which includes as special cases various first order
generalized
autoregressive
conditional
…
heteroskedasticity
(GARCH) and autoregressive conditional duration (ACD) models with possibly complicated non-linear structures. The …
Persistent link: https://www.econbiz.de/10005047884
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