Linton, Oliver; Pan, Jiazhu; Wang, Hui - In: Econometric Theory 26 (2010) 01, pp. 1-28
This paper studies the estimation of a semi-strong GARCH(1,1) model when it does not have a stationary solution, where semi-strong means that we do not require the errors to be independent over time. We establish necessary and sufficient conditions for a semi-strong GARCH(1,1) process to have a...
