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Tail Behaviour of the Stationary Density of General Non-Linear Autoregressive Processes of Order One

Author

Listed:
  • Jean Diebolt

    (UPMC - Université Pierre et Marie Curie - Paris 6)

  • Dominique Guegan

    (IG - Institut Galilée - UP13 - Université Paris 13)

Abstract

We examine the main properties of the Markov chain X t = T(X t-1 )+σ(X t-1 )ɛ t . Under general and tractable assumptions, we derive bounds for the tails of the stationary density of the process {X t } in terms of the common density of the ɛ t 's.

Suggested Citation

  • Jean Diebolt & Dominique Guegan, 1993. "Tail Behaviour of the Stationary Density of General Non-Linear Autoregressive Processes of Order One," Post-Print halshs-00199526, HAL.
    • Handle: RePEc:hal:journl:halshs-00199526
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    Cited by:

    1. Jean‐Pierre Stockis & Jürgen Franke & Joseph Tadjuidje Kamgaing, 2010. "On geometric ergodicity of CHARME models," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(3), pages 141-152, May.
    2. Komunjer, Ivana & Vuong, Quang, 2010. "Efficient estimation in dynamic conditional quantile models," Journal of Econometrics, Elsevier, vol. 157(2), pages 272-285, August.
    3. John Galbraith & Serguei Zernov, 2009. "Extreme dependence in the NASDAQ and S&P 500 composite indexes," Applied Financial Economics, Taylor & Francis Journals, vol. 19(13), pages 1019-1028.

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