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dc.contributor.authorMeitz, Mikaen
dc.date.accessioned2012-03-28T13:11:41Z-
dc.date.available2012-03-28T13:11:41Z-
dc.date.issued2005-
dc.identifier.urihttp://hdl.handle.net/10419/56374-
dc.description.abstractWe 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
dc.language.isoengen
dc.publisher|aStockholm School of Economics, The Economic Research Institute (EFI) |cStockholmen
dc.relation.ispartofseries|aSSE/EFI Working Paper Series in Economics and Finance |x601en
dc.subject.jelC22en
dc.subject.ddc330en
dc.subject.keywordGARCHen
dc.subject.keywordstrict stationarityen
dc.subject.keywordLyapunov exponenten
dc.subject.stwARCH-Modellen
dc.subject.stwÖkonometrisches Modellen
dc.titleA necessary and sufficient condition for the strict stationarity of a family of GARCH processes-
dc.typeWorking Paperen
dc.identifier.ppn497880067en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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