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

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  • Lee, Oesook

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.

Suggested Citation

  • Lee, Oesook, 2012. "V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model," Statistics & Probability Letters, Elsevier, vol. 82(4), pages 812-817.
    • Handle: RePEc:eee:stapro:v:82:y:2012:i:4:p:812-817
    DOI: 10.1016/j.spl.2012.01.006
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    References listed on IDEAS

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