Periodic stationarity conditions for mixture periodic INGARCH models
This paper proposes strict periodic stationarity and periodic ergodicity conditions for a finite mixture integer-valued GARCH model with S-periodic time-varying parameters that depend on the state of an independent and periodically distributed regime sequence. In this model, the past conditional mea...
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| Format: | Article |
| Language: | English |
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AIMS Press
2022-03-01
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| Series: | AIMS Mathematics |
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| Online Access: | https://www.aimspress.com/article/doi/10.3934/math.2022546?viewType=HTML |