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DTSTART:20220327T010000
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DTSTART:20221030T010000
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DTSTART;TZID=Europe/Helsinki:20221020T113000
DTEND;TZID=Europe/Helsinki:20221020T123000
DTSTAMP:20260711T133251
CREATED:20221014T053120Z
LAST-MODIFIED:20221014T053139Z
UID:14152-1666265400-1666269000@crest.science
SUMMARY:Baye Matar KANDJI (CREST)  " STRICT STATIONARITY AND EXISTENCE OF MOMENTS FOR A FAMILY OF FUNCTIONAL GARCHS"
DESCRIPTION:The Financial Econometrics Seminar: \nTime: 11:30 pm\nDate: 20th of October 2022\nRoom 3001 + Zoom \nBaye Matar KANDJI (CREST)  “STRICT STATIONARITY AND EXISTENCE OF MOMENTS FOR A FAMILY OF FUNCTIONAL GARCHS” \nAbstract : 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.\n\n \nOrganizers:\n\nJean-Michel ZAKOIAN  (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/baye-matar-kandji-crest-strict-stationarity-and-existence-of-moments-for-a-family-of-functional-garchs/
CATEGORIES:Finance-Insurance,Financial Econometrics
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