Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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A Study on Box-Cox Transformed Threshold GARCH(1,1) Process

  • Lee, O. (Department of Statistics, Ewha Womans University)
  • Published : 2007.04.30
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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 ${\beta}$-mixing property with an exponential decay rate.

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References

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