V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model

Oesook Lee

Statistics & Probability Letters, 2012, vol. 82, issue 4, 812-817

Abstract: A continuous time asymmetric power GARCH(1,1) model is presented and the V-uniform ergodicity and β-mixing property of the process with exponential decay rate are proved. The V-uniform ergodicity of the COGARCH(1,1) model is obtained as a special case.

Keywords: Continuous time asymmetric power GARCH(1,1) process; COGARCH(1,1) process; Uniform ergodicity (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.spl.2012.01.006

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