Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process

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	Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process
	Liu, Ji-Chun ; Liu JC(刘继春)
刊名	http://dx.doi.org/10.1016/j.spl.2007.02.009
	2007-07-15
关键词	AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY REGIME MODEL
英文摘要	In order to capture three important dynamic characteristics of time series, the asymmetry, regimes, and conditional heteroskedasticity, based on Hwang and Basawa's [2004. Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes. Statist. Probab. Lett. 68, 209-220] and Haas et al. [2004. A new approach to Markov-switching GARCH models. J. Financial Econometrics 2, 493-530] models, this paper proposes a Markoy-switching Box-Cox transformed threshold GARCH model. Some structural properties of this new GARCH process are considered. First, a sufficient and necessary condition for the existence of the weakly and strictly stationary solution of the process is presented, respectively. Second, the general conditions for the existence of high-order moments of the process are derived. The technique used in this paper for the weak stationarity and the high-order moments of the process is different from that used in Haas et al. [2004. A new approach to Markov-switching GARCH models. J. Financial Econometrics 2, 493-530], and avoids the assumption that the process started in the infinite past with finite variance. (C) 2007 Elsevier B.V. All rights reserved.
语种	英语
出版者	STAT PROBABIL LETT
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/90975]
专题	数学科学－已发表论文
推荐引用方式 GB/T 7714	Liu, Ji-Chun,Liu JC. Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process[J]. http://dx.doi.org/10.1016/j.spl.2007.02.009,2007.
APA	Liu, Ji-Chun,&刘继春.(2007).Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process.http://dx.doi.org/10.1016/j.spl.2007.02.009.
MLA	Liu, Ji-Chun,et al."Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process".http://dx.doi.org/10.1016/j.spl.2007.02.009 (2007).