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dc.contributor.authorMeitz, Mikaen_US
dc.date.accessioned2012-03-28T13:11:41Z-
dc.date.available2012-03-28T13:11:41Z-
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10419/56374-
dc.description.abstractWe consider a family of GARCH(1,1) processes introduced in He and Ter├Ąsvirta (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.isoengen_US
dc.publisherEkonomiska Forskningsinst. Stockholmen_US
dc.relation.ispartofseriesSSE/EFI Working Paper Series in Economics and Finance 601en_US
dc.subject.jelC22en_US
dc.subject.ddc330en_US
dc.subject.keywordGARCHen_US
dc.subject.keywordstrict stationarityen_US
dc.subject.keywordLyapunov exponenten_US
dc.subject.stwARCH-Modellen_US
dc.subject.stw├ľkonometrisches Modellen_US
dc.titleA necessary and sufficient condition for the strict stationarity of a family of GARCH processesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn497880067en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_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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