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ArticleL1 geometric ergodicity of a multivariate nonlinear AR model with an ARCH term

Zudi Lu2001

Article2001

L1 geometric ergodicity of a multivariate nonlinear AR model with an ARCH term

Zudi Lu · Zhenyu Jiang

44 citations·0/0 files stored·Statistics & Probability Letters

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Financial Risk and Volatility Modeling Mathematical Dynamics and Fractals Time Series Analysis and Forecasting

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1992ARCH modeling in finance 1990Stock Returns and Volatility 1995Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality 1997Local polynomial estimators of the volatility function in nonparametric autoregression 1983Criteria for rates of convergence of Markov chains, with application to queueing and storage theory 1999Nonparametric Autoregression with Multiplicative Volatility and Additive mean 1998Nonparametric vector autoregression

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2006LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE 2006Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR‐ARCH Models

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Year2001

Typearticle

Published2001-01-01

VenueStatistics & Probability Letters

ISSN-L0167-7152

Languageen

Citations44

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0167-7152(00)00138-3

openalex_workW2015171238

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