{"id":"https://openalex.org/W2770738270","doi":"https://doi.org/10.1017/jpr.2019.8","title":"Absolute regularity of semi-contractive GARCH-type processes","display_name":"Absolute regularity of semi-contractive GARCH-type processes","publication_year":2019,"publication_date":"2019-03-01","ids":{"openalex":"https://openalex.org/W2770738270","doi":"https://doi.org/10.1017/jpr.2019.8","mag":"2770738270"},"language":"en","primary_location":{"id":"doi:10.1017/jpr.2019.8","is_oa":false,"landing_page_url":"https://doi.org/10.1017/jpr.2019.8","pdf_url":null,"source":{"id":"https://openalex.org/S160779208","display_name":"Journal of Applied Probability","issn_l":"0021-9002","issn":["0021-9002","1475-6072"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Probability","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1711.04282","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":null,"display_name":"Paul Doukhan","orcid":null},"institutions":[{"id":"https://openalex.org/I4210142324","display_name":"CY Cergy Paris Universit\u00e9","ror":"https://ror.org/043htjv09","country_code":"FR","type":"education","lineage":["https://openalex.org/I4210142324"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"Paul Doukhan","raw_affiliation_strings":["Universit\u00e9 Cergy-Pontoise"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Universit\u00e9 Cergy-Pontoise","institution_ids":["https://openalex.org/I4210142324"]}]},{"author_position":"last","author":{"id":null,"display_name":"Michael H. Neumann","orcid":null},"institutions":[{"id":"https://openalex.org/I76198965","display_name":"Friedrich Schiller University Jena","ror":"https://ror.org/05qpz1x62","country_code":"DE","type":"education","lineage":["https://openalex.org/I76198965"]}],"countries":["DE"],"is_corresponding":true,"raw_author_name":"Michael H. Neumann","raw_affiliation_strings":["Friedrich-Schiller-Universit\u00e4t Jena"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Friedrich-Schiller-Universit\u00e4t Jena","institution_ids":["https://openalex.org/I76198965"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I4210142324","https://openalex.org/I76198965"],"apc_list":null,"apc_paid":null,"fwci":3.0491,"has_fulltext":false,"cited_by_count":16,"citation_normalized_percentile":{"value":0.91195451,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":98},"biblio":{"volume":"56","issue":"01","first_page":"91","last_page":"115"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.6744999885559082,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.6744999885559082,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.07599999755620956,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11236","display_name":"Control Systems and Identification","score":0.03009999915957451,"subfield":{"id":"https://openalex.org/subfields/2207","display_name":"Control and Systems Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/uniqueness","display_name":"Uniqueness","score":0.7121000289916992},{"id":"https://openalex.org/keywords/geometric-distribution","display_name":"Geometric distribution","score":0.6402000188827515},{"id":"https://openalex.org/keywords/mixing","display_name":"Mixing (physics)","score":0.6230000257492065},{"id":"https://openalex.org/keywords/mathematical-proof","display_name":"Mathematical proof","score":0.5396000146865845},{"id":"https://openalex.org/keywords/absolute-continuity","display_name":"Absolute continuity","score":0.4918000102043152},{"id":"https://openalex.org/keywords/distribution","display_name":"Distribution (mathematics)","score":0.4869000017642975},{"id":"https://openalex.org/keywords/nonlinear-system","display_name":"Nonlinear system","score":0.4860999882221222},{"id":"https://openalex.org/keywords/work","display_name":"Work (physics)","score":0.4767000079154968}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.9248999953269958},{"id":"https://openalex.org/C2777021972","wikidata":"https://www.wikidata.org/wiki/Q22976830","display_name":"Uniqueness","level":2,"score":0.7121000289916992},{"id":"https://openalex.org/C39947850","wikidata":"https://www.wikidata.org/wiki/Q729523","display_name":"Geometric distribution","level":3,"score":0.6402000188827515},{"id":"https://openalex.org/C138777275","wikidata":"https://www.wikidata.org/wiki/Q6884054","display_name":"Mixing (physics)","level":2,"score":0.6230000257492065},{"id":"https://openalex.org/C108710211","wikidata":"https://www.wikidata.org/wiki/Q11538","display_name":"Mathematical proof","level":2,"score":0.5396000146865845},{"id":"https://openalex.org/C118733216","wikidata":"https://www.wikidata.org/wiki/Q332504","display_name":"Absolute continuity","level":2,"score":0.4918000102043152},{"id":"https://openalex.org/C110121322","wikidata":"https://www.wikidata.org/wiki/Q865811","display_name":"Distribution (mathematics)","level":2,"score":0.4869000017642975},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.4860999882221222},{"id":"https://openalex.org/C18762648","wikidata":"https://www.wikidata.org/wiki/Q42213","display_name":"Work (physics)","level":2,"score":0.4767000079154968},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.4641999900341034},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.37290000915527344},{"id":"https://openalex.org/C131584629","wikidata":"https://www.wikidata.org/wiki/Q4308705","display_name":"Coupling (piping)","level":2,"score":0.3652999997138977},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.32760000228881836},{"id":"https://openalex.org/C153363305","wikidata":"https://www.wikidata.org/wiki/Q1306887","display_name":"Geometric series","level":3,"score":0.32109999656677246},{"id":"https://openalex.org/C2777487392","wikidata":"https://www.wikidata.org/wiki/Q481201","display_name":"Absolute (philosophy)","level":2,"score":0.31029999256134033},{"id":"https://openalex.org/C2777686260","wikidata":"https://www.wikidata.org/wiki/Q144037","display_name":"Calculus (dental)","level":2,"score":0.2962000072002411},{"id":"https://openalex.org/C202444582","wikidata":"https://www.wikidata.org/wiki/Q837863","display_name":"Pure mathematics","level":1,"score":0.2897000014781952},{"id":"https://openalex.org/C2776502983","wikidata":"https://www.wikidata.org/wiki/Q690182","display_name":"Contrast (vision)","level":2,"score":0.27469998598098755},{"id":"https://openalex.org/C49232408","wikidata":"https://www.wikidata.org/wiki/Q576072","display_name":"Student's t-distribution","level":4,"score":0.2624000012874603},{"id":"https://openalex.org/C207467116","wikidata":"https://www.wikidata.org/wiki/Q4385666","display_name":"Inverse","level":2,"score":0.2624000012874603}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1017/jpr.2019.8","is_oa":false,"landing_page_url":"https://doi.org/10.1017/jpr.2019.8","pdf_url":null,"source":{"id":"https://openalex.org/S160779208","display_name":"Journal of Applied Probability","issn_l":"0021-9002","issn":["0021-9002","1475-6072"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Probability","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1711.04282","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1711.04282","pdf_url":"https://arxiv.org/pdf/1711.04282","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1711.04282","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1711.04282","pdf_url":"https://arxiv.org/pdf/1711.04282","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G117653634","display_name":"Mod\u00e8les Math\u00e9matiques et Economiques de la Dynamique, de l'Incertitude et des Interactions","funder_award_id":"ANR-11-LABX-0023","funder_id":"https://openalex.org/F4320320883","funder_display_name":"Agence Nationale de la Recherche"}],"funders":[{"id":"https://openalex.org/F4320320883","display_name":"Agence Nationale de la Recherche","ror":"https://ror.org/00rbzpz17"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":22,"referenced_works":["https://openalex.org/W1086135","https://openalex.org/W105317347","https://openalex.org/W1569213539","https://openalex.org/W1955327913","https://openalex.org/W1978140860","https://openalex.org/W1978180266","https://openalex.org/W1979575715","https://openalex.org/W1986486361","https://openalex.org/W1986989922","https://openalex.org/W1999996900","https://openalex.org/W2031680849","https://openalex.org/W2056075622","https://openalex.org/W2061160212","https://openalex.org/W2119634512","https://openalex.org/W2127079034","https://openalex.org/W2134536175","https://openalex.org/W2142306316","https://openalex.org/W2170441874","https://openalex.org/W2328845883","https://openalex.org/W4205511125","https://openalex.org/W4241983685","https://openalex.org/W4244792406"],"related_works":[],"abstract_inverted_index":{"Abstract":[0],"We":[1],"prove":[2],"existence":[3],"and":[4,10,16],"uniqueness":[5],"of":[6,19,71,83,86],"a":[7,34,39,54,61,81],"stationary":[8],"distribution":[9],"absolute":[11],"regularity":[12],"for":[13],"nonlinear":[14],"GARCH":[15],"INGARCH":[17],"models":[18,47],"order":[20],"(":[21],"p":[22],",":[23],"q":[24],").":[25],"In":[26],"contrast":[27],"to":[28,45],"previous":[29],"work":[30],"we":[31],"impose,":[32],"besides":[33],"geometric":[35,68],"drift":[36],"condition,":[37],"only":[38],"semi-contractive":[40],"condition":[41],"which":[42,48],"allows":[43],"us":[44],"include":[46],"would":[49],"be":[50],"ruled":[51],"out":[52],"by":[53],"fully":[55],"contractive":[56],"condition.":[57],"This":[58],"results":[59],"in":[60],"subgeometric":[62],"rather":[63],"than":[64],"the":[65,72,87],"more":[66],"usual":[67],"decay":[69],"rate":[70],"mixing":[73],"coefficients.":[74],"The":[75],"proofs":[76],"are":[77],"heavily":[78],"based":[79],"on":[80],"coupling":[82],"two":[84],"versions":[85],"processes.":[88]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":5},{"year":2020,"cited_by_count":3}],"updated_date":"2026-07-03T08:13:44.112507","created_date":"2017-12-04T00:00:00"}