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Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes

  • Alexander M. LindnerEmail author
Chapter

Abstract

This paper collects some of the well known probabilistic properties of GARCH (p, q) processes. In particular, we address the question of strictly and of weakly stationary solutions. We further investigate moment conditions as well as the strong mixing property of GARCH processes. Some distributional properties such as the tail behaviour and continuity properties of the stationary distribution are also included.

Keywords

Stationary Solution Spectral Radius Probabilistic Property Financial Time Series Noise Sequence 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  1. 1.Technische Universität BraunschweigInstitut für Mathematische StochastikPockelsstrasseBraunschweig

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