A Study on Box-Cox Transformed Threshold GARCH(1,1) Process

Title & Authors
A Study on Box-Cox Transformed Threshold GARCH(1,1) Process
Lee, O.;

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 $\small{{\beta}}$-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
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