Benutzer: Gast  Login
Dokumenttyp:
Buchbeitrag 
Autor(en):
Lindner, A.M. 
Titel:
Stationarity, mixing, distributional properties and moments of GARCH(p; q)-processes 
Abstract:
This paper collects some of the well known probabilistic properties of GARCH(p,q) processes. In particular, we address the question of strictly and of weakly stationary solutions.We further investigate moment conditions as well as the strong mixing property of GARCH processes. Some distributional properties such as the tail behaviour and continuity properties of the stationary distribution are also included. 
Seitenangaben Beitrag:
43-69 
Buchtitel:
Mikosch, T.u.a.: Handbook of Financial Time Series 
Verlag / Institution:
Springer 
Jahr:
2009 
Print-ISBN:
978-3-540-71296-1 
E-ISBN:
978-3-540-71297-8 
Reviewed:
ja 
Sprache:
en 
Semester:
SS 08 
Format:
Text