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Geometric ergodicity for the augmented asymmetric power GARCH model  

Park, S. (Department of Statistics, Ewha Womans University)
Kang, S. (Department of Statistics, Ewha Womans University)
Kim, S. (Department of Statistics, Ewha Womans University)
Lee, O. (Department of Statistics, Ewha Womans University)
Publication Information
Journal of the Korean Data and Information Science Society / v.22, no.6, 2011 , pp. 1233-1240 More about this Journal
Abstract
An augmented asymmetric power GARCH(p, q) process is considered and conditions for stationarity, geometric ergodicity and ${\beta}$-mixing property with exponential decay rate are obtained.
Keywords
Asymmetric power GARCH (p,q) process; ${\beta}$-mixing; drift condition; geometric ergodicity; irreducibility; stationarity; uniform countable additivity condition;
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