A note on the geometric ergodicity of a nonlinear AR-ARCH model
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- Mika Meitz & Pentti Saikkonen, 2010. "A note on the geometric ergodicity of a nonlinear AR–ARCH model," Koç University-TUSIAD Economic Research Forum Working Papers 1003, Koc University-TUSIAD Economic Research Forum.
References listed on IDEAS
- Mika Meitz & Pentti Saikkonen, 2008.
"Stability of nonlinear AR-GARCH models,"
Journal of Time Series Analysis,
Wiley Blackwell, vol. 29(3), pages 453-475, May.
- MEITZ, Mika & SAIKKONEN, Pentti, 2006. "Stability of nonlinear AR-GARCH models," CORE Discussion Papers 2006078, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Mika Meitz & Pentti Saikkonen, 2007. "Stability of nonlinear AR-GARCH models," Economics Series Working Papers 328, University of Oxford, Department of Economics.
- Meitz, Mika & Saikkonen, Pentti, 2006. "Stability of nonlinear AR-GARCH models," SSE/EFI Working Paper Series in Economics and Finance 632, Stockholm School of Economics.
- Basrak, Bojan & Davis, Richard A. & Mikosch, Thomas, 2002. "Regular variation of GARCH processes," Stochastic Processes and their Applications, Elsevier, vol. 99(1), pages 95-115, May.
- Lu, Zudi & Jiang, Zhenyu, 2001. "L1 geometric ergodicity of a multivariate nonlinear AR model with an ARCH term," Statistics & Probability Letters, Elsevier, vol. 51(2), pages 121-130, January.
- Daren B. H. Cline, 2007. "Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(2), pages 241-260, March.
- Cline, Daren B. H. & Pu, Huay-min H., 1998. "Verifying irreducibility and continuity of a nonlinear time series," Statistics & Probability Letters, Elsevier, vol. 40(2), pages 139-148, September.
- Eckhard Liebscher, 2005. "Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(5), pages 669-689, September.
- Masry, Elias & Tjøstheim, Dag, 1995. "Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality," Econometric Theory, Cambridge University Press, vol. 11(02), pages 258-289, February.
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- Isao Ishida & Virmantas Kvedaras, 2015. "Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity," Econometrics, MDPI, Open Access Journal, vol. 3(1), pages 1-53, January.
More about this item
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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