A note on the stationarity and the existence of moments of the GARCH model

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	A note on the stationarity and the existence of moments of the GARCH model
	Chen, M; An, HZ
	1998-04-01
发表期刊	STATISTICA SINICA
ISSN	1017-0405
卷号	8 期号:2 页码:505-510
摘要	In the present paper we examine the strict stationarity and the existence of higher-order moments for the GARCH(p,q) model under general and tractable assumptions.
关键词	GARCH model higher-order moments nonlinear time series strict stationarity
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000073351400014
出版者	STATISTICA SINICA
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/13596
专题	应用数学研究所
通讯作者	Chen, M
作者单位	Acad Sinica, Inst Appl Math, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Chen, M,An, HZ. A note on the stationarity and the existence of moments of the GARCH model[J]. STATISTICA SINICA,1998,8(2):505-510.
APA	Chen, M,&An, HZ.(1998).A note on the stationarity and the existence of moments of the GARCH model.STATISTICA SINICA,8(2),505-510.
MLA	Chen, M,et al."A note on the stationarity and the existence of moments of the GARCH model".STATISTICA SINICA 8.2(1998):505-510.