β-mixing and moment properties of RCA models with application to GARCH(p, q)

被引：7

作者：

Carrasco, M

Chen, XH

机构：

[1] Crest, F-92245 Malakoff, France

[2] Univ London London Sch Econ & Polit Sci, London WC2A 2AE, England

来源：

COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE | 2000年 / 331卷 / 01期

关键词：

D O I：

10.1016/S0764-4442(00)00504-8

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This Note studies the properties of the random coefficient autoregressive models and the Markov plus i.i.d. noise models. We provide tractable sufficient conditions that simultaneously imply strict stationarity, finiteness of higher-order moments, and beta-mixing with geometric decay rates. These results are applied to GARCH(p, q) and EGARCH(1, 1) models. (C) 2000 Academie des sciences/Editions scientifiques et medicales Elsevier SAS.

引用

页码：85 / 90

页数：6

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