Covariance stationary GARCH-family models with long memory property

被引：0
|
作者：
O. Lee
H. M. Kim
机构：
[1] Ewha University,Department of Statistics
来源：
Journal of the Korean Statistical Society | 2008年 / 37卷
关键词：
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We propose simple models which extend GARCH model and find regions of coefficients on which the given process is nonnegative covariance stationary and has long memory property.
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页码：29 / 35
页数：6
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