Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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GEOMETRIC ERGODICITY AND EXISTENCE OF HIGHER-ORDER MOMENTS FOR DTARCH(p,q) PROCESS

  • Lee, Oe-Sook (Department of Statistics, Ewha Womans University)
  • Published : 2003.06.01
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Abstract

We consider a double threshold AR-ARCH type process and give sufficient conditions under which the higher-order moments exist. Geometric ergodicity and strict stationarity are also studied.

Keywords

References

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