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EFI - The Economic Research Institute, Stockholm School of Economics >
SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/56374
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Meitz, Mika | | en_US |
| dc.date.accessioned | | 2012-03-28T13:11:41Z | | - |
| dc.date.available | | 2012-03-28T13:11:41Z | | - |
| dc.date.issued | | 2005 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/56374 | | - |
| dc.description.abstract | | We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (1999a). This family contains various popular GARCH models as special cases. A necessary and sufficient condition for the existence of a strictly stationary solution is given. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Ekonomiska Forskningsinst. Stockholm | | en_US |
| dc.relation.ispartofseries | | SSE/EFI Working Paper Series in Economics and Finance 601 | | en_US |
| dc.subject.jel | | C22 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | GARCH | | en_US |
| dc.subject.keyword | | strict stationarity | | en_US |
| dc.subject.keyword | | Lyapunov exponent | | en_US |
| dc.subject.stw | | ARCH-Modell | | en_US |
| dc.subject.stw | | Ökonometrisches Modell | | en_US |
| dc.title | | A necessary and sufficient condition for the strict stationarity of a family of GARCH processes | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 497880067 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics
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