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https://hdl.handle.net/10419/56374
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Meitz, Mika | en |
dc.date.accessioned | 2012-03-28T13:11:41Z | - |
dc.date.available | 2012-03-28T13:11:41Z | - |
dc.date.issued | 2005 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aStockholm School of Economics, The Economic Research Institute (EFI) |cStockholm | en |
dc.relation.ispartofseries | |aSSE/EFI Working Paper Series in Economics and Finance |x601 | en |
dc.subject.jel | C22 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | GARCH | en |
dc.subject.keyword | strict stationarity | en |
dc.subject.keyword | Lyapunov exponent | en |
dc.subject.stw | ARCH-Modell | en |
dc.subject.stw | Ökonometrisches Modell | en |
dc.title | A necessary and sufficient condition for the strict stationarity of a family of GARCH processes | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 497880067 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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