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.File in questo prodotto:
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