JOURNAL BROWSE
Search
Advanced SearchSearch Tips
A Study on Box-Cox Transformed Threshold GARCH(1,1) Process
facebook(new window)  Pirnt(new window) E-mail(new window) Excel Download
 Title & Authors
A Study on Box-Cox Transformed Threshold GARCH(1,1) Process
Lee, O.;
  PDF(new window)
 Abstract
In this paper, we consider a Box-Cox transformed threshold GARCH(1,1) process and find a sufficient condition under which the process is geometrically ergodic and has the -mixing property with an exponential decay rate.
 Keywords
Box-Cox transform;threshold GARCH;stationarity;geometrically ergotic;beta-mixing;
 Language
English
 Cited by
1.
On geometric ergodicity and ${\beta}$-mixing property of asymmetric power transformed threshold GARCH(1,1) process,;

Journal of the Korean Data and Information Science Society, 2011. vol.22. 2, pp.353-360
 References
1.
Barndorff-Nielsen, O. E. and Shephard, N. (2002). Estimating quadratic variation using realized variance. Journal of Applied Econometrics, 17, 457-477 crossref(new window)

2.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307-327 crossref(new window)

3.
Chen, M. and An, H. Z. (1998). A note on the stationarity and the existence of moments of the GARCH model. Statistica Sinica, 8, 505-510

4.
Ding, Z., Granger, C. W. J. and Engle, R. F. (1993). A long memory property of stock market returns and a new model. Journal of Empirical Finance, 1,83-106 crossref(new window)

5.
Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50, 987-1007 crossref(new window)

6.
Hwang, S. Y. and Basawa, I. V. (2004). Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes. Statistics & Probability Letters, 68, 209-220 crossref(new window)

7.
Ling, S. and McAleer, M. (2002). Stationarity and the existence of moments of a family of GARCH processes. Journal of Econometrics, 106, 109-117 crossref(new window)

8.
Liu, J. C. (2006). On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process. Statistics & Probability Letters, 76, 1323-1330 crossref(new window)

9.
Meitz, M. (2005). A necessary and sufficient conditions for the strict stationarity of a family of GARCH processes. SSE/EEI Working Paper Series in Economics and Finance

10.
Meyn, S. P. and Tweedie, R. L. (1993). Markov Chains and Stochastic Stability, Springer, London

11.
Rabemanjara, R. and Zakoian, J. M. (1993). Threshold ARCH model and asymmetries in volatility. Journal of Applied Econometrics, 9, 31-49

12.
Tweedie, R. L. (1983). Criteria for rates of convergence of Markov chains with application to queueing and storage theory. Probability, Statistics and Analysis. London Mathematical Society Lecture Note Series (J. F. C. Kingman and G. E. H. Reuter, eds), 260-276, Cambridge University Press, Cambridge