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 (C) 2007 Elsevier B.V. All rights reserved.

Bellini, F., Bottolo, L. (2007). Stationarity domains for delta-power Garch process with heavy tails. STATISTICS & PROBABILITY LETTERS, 77(13), 1418-1427 [10.1016/j.spl.2007.02.012].

Stationarity domains for delta-power Garch process with heavy tails

BELLINI, FABIO;
2007

Abstract

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 (C) 2007 Elsevier B.V. All rights reserved.
Articolo in rivista - Articolo scientifico
power Garch models; strict and weak stationarity; alpha-stable distributions; heavy tails distributions
English
15-lug-2007
77
13
1418
1427
none
Bellini, F., Bottolo, L. (2007). Stationarity domains for delta-power Garch process with heavy tails. STATISTICS & PROBABILITY LETTERS, 77(13), 1418-1427 [10.1016/j.spl.2007.02.012].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/826
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