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

Authors
Carrasco, M Chen, XH
Citation
M. Carrasco et Xh. Chen, beta-mixing and moment properties of RCA models with application to GARCH(p, q), CR AC S I, 331(1), 2000, pp. 85-90
Citations number
8
Categorie Soggetti
Mathematics
Journal title
COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE
ISSN journal
07644442 → ACNP
Volume
331
Issue
1
Year of publication
2000
Pages
85 - 90
Database
ISI
SICI code
0764-4442(20000701)331:1<85:BAMPOR>2.0.ZU;2-9
Abstract
This Note studies the properties of the random coefficient autoregressive m odels and the Markov plus i.i.d. noise models. We provide tractable suffici ent conditions that simultaneously imply strict stationarity, finiteness of higher-order moments, and beta-mixing with geometric decay rates. These re sults are applied to GARCH(p, q) and EGARCH(1, 1) models. (C) 2000 Academie des sciences/Editions scientifiques et medicales Elsevier SAS.