论文信息 - Stationarity of Garch processes and of some nonnegative time series

Stationarity of Garch processes and of some nonnegative time series

Abstract Two time series models are considered: GARCH processes and generalized multivariate autoregressive equations, Xn+1=An+1Xn+Bn+1, with nonnegative i.i.d. coefficients. In each case, a necessary and sufficient condition ensuring the existence of a strictly stationary solution is given.

P. Bougerol | N. Picard | Philippe Bougerol | Nico Picard

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