The Financial Econometrics Seminar: 
Time: 11:30 pm
Date: 20th of October 2022
Room 3001 + Zoom

Baye Matar KANDJI (CREST)  “STRICT STATIONARITY AND EXISTENCE OF MOMENTS FOR A FAMILY OF FUNCTIONAL GARCHS”

Abstract : We consider random coefficient autoregressive models with non-negative coefficients in Banach lattice. We develop a method using functional analysis tools to establish a necessary and sufficient condition for the existence of s strogn-order and weak-order stationary solution, where s>0. We apply these results to provide necessary and sufficient conditions for the existence of a stationary solution for a large family of GARCH processes, including functional GARCH models.

Organizers:

Jean-Michel ZAKOIAN  (CREST)

Sponsors:
CREST