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Stationarity of GARCH processes and of some nonnegative time series. (English) Zbl 0746.62087
Summary: Two time series models are considered: GARCH processes and generalized multivariate autoregressive equations, \(X_{n+1}=A_{n+1}X_ n+B_{n+1}\), with nonnegative i.i.d. coefficients. In each case, a necessary and sufficient condition ensuring the existence of a strictly stationary solution is given.

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P20 Applications of statistics to economics
Full Text: DOI
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