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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)
Publication Information
Journal of the Korean Statistical Society / v.32, no.2, 2003 , pp. 193-202 More about this Journal
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
Double threshold AR-ARCH model; irreducible; geometric ergodicity; stationarity; moment.;
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Times Cited By KSCI : 2  (Citation Analysis)
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