ON THE GEOMETRIC ERGODICITY OF A NON-LINEAR AUTOREGRESSIVE MODEL WITH AN AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTIC TERM

Zudi Lu

53 citations0/0 files stored

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

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

Abstract

In this paper, the geometric ergodicity of a non-linear AR model with an ARCH term is discussed. Two non-vacuous and mild sufficient conditions are given. The results obtained modify the vacuous part and reduce the restriction of Masry and Tjφstheim (1995)'s conditions, and lay a foundation for statistical inference of the model (e.g. Mckeague and Zhang (1994) and Masry and Tjφstheim (1995)). It is worth pointing out that the geometric ergodicity of the general β- ARCH(p) model which could not be solved in Guegan and Diebolt (1994) may be easily derived from our results. Compared with Nze (1992), the conditions of this paper may guarantee the existence of the second moments for the stationary solution. A conjecture is also given.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 53 citations exist upstream.

References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1995Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality

Cited by

2006LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE 2006Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR‐ARCH Models 2019Strict stationarity testing and GLAD estimation of double autoregressive models 2020Consistent nonparametric change point detection combining CUSUM and marked empirical processes

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.