On geometric ergodicity and β-mixing property of asymmetric power transformed threshold GARCH(1,1) process

다국어 초록 (Multilingual Abstract)

We consider an asymmetric power transformed threshold GARCH(1.1) process and find sufficient conditions for the existence of a strictly stationary solution, geometric ergodicity and β-mixing property. Moments conditions are given. Box-Cox transformed threshold GARCH(1.1) process is also considered as a special case.

참고문헌 (Reference)

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