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\(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term. - MaRDI portal

\(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term. (Q5933608)

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scientific article; zbMATH DE number 1599538
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\(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.
scientific article; zbMATH DE number 1599538

    Statements

    title
    \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term. (English)
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    author
    Zu-di Lu
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    Zhenyu Jiang
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    publication date
    1 November 2001
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    zbMATH Keywords
    Autoregression
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    Conditional heteroscedasticity
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    \(L_1\) geometric ergodicity
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    Markov chain
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    Multivariate AR-ARCH (CHARN) model
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    cites work
    Q4031244
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    Q4839358
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    Q4225475
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    Q4307738
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    Q3999154
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    Identifiers

    zbMATH DE Number
    1599538
    0 references
     
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