Journal of the Korean Data and Information Science Society
- 제17권3호
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- Pages.983-990
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- 2006
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- 1598-9402(pISSN)
Long Memory and Covariance Stationarity of Asymmetric Power FIGARCH Model
초록
In this paper, we study an asymmetric power fractionally integrated GARCH model and find a region on which the process is stationary ergodic and has long memory property.