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Geometric ergodicity of asymmetric volatility models with stochastic parameters

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	Geometric ergodicity of asymmetric volatility models with stochastic parameters
2.	Creator	Author's name, affiliation, country	Neelabh Rohan; University of Pune; India
2.	Creator	Author's name, affiliation, country	T. V. Ramanathan; University of Pune; India
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)	Asymmetric volatility models; geometric ergodicity; irreducibility; stationar- ity, stochastic parameter GARCH model
4.	Description	Abstract	In this paper, we consider a general family of asymmetric volatility models with stationary and ergodic coefficients. This family can nest several non-linear asymmetric GARCH models with stochastic parameters into its ambit. It also generalizes Markov-switching GARCH and GJR models. The geometric ergodicity of the proposed process is established. Sufficient conditions for stationarity and existence of moments have also been investigated. Geometric ergodicity of various volatility models with stochastic parameters has been discussed as special cases.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)
7.	Date	(YYYY-MM-DD)	2013-10-21
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ejp.ejpecp.org/article/view/1871
10.	Identifier	Digital Object Identifier	10.1214/EJP.v18-1871
11.	Source	Journal/conference title; vol., no. (year)	Electronic Journal of Probability; Vol 18
12.	Language	English=en	en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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