Common Persistence and Error-Correction Mode in Conditional Variance

被引：7

作者：

LI Handong ZHANG Shiying School of Management Tianjin University Tianjin China ^{[300072
]}

机构：

来源：

Journal of Systems Science and Systems Engineering | 2001年 / 03期

关键词：

D O I：

暂无

中图分类号：

F224 [经济数学方法];

学科分类号：

020104 [西方经济学];

摘要：

We firstly define the persistence and common persistence of vector GARCH process from the point of view of the integration, and then discuss the sufficient and necessary condition of the copersistence in variance. In the end of this paper, we give the properties and the error correction model of vector GARCH process under the condition of the co-persistence.

引用

页码：257 / 264

页数：8