The geometric ergodicity and existence of moments for a class of nonlinear time series model

DOI10.1016/S0167-7152(96)00033-8zbMath0889.62073MaRDI QIDQ1359724

Fuchun Huang, Min Chen, Hong-Zhi An

Publication date: 11 June 1998

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Markov chainnonlinear time serieshigher-order momentsgeometric ergodicitybeta-ARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02)

Related Items

Power periodic threshold GARCH model: Structure and estimation, Testing Symmetry of the Error Distribution in Nonlinear Heteroscedastic Models, Estimation in a class of nonlinear heteroscedastic time series models, Asymptotically optimal tests for non-linear autoregressive model with \(\beta \)-ARCH errors, Ergodicity and existence of moments for local mixtures of linear autoregressions, Strict stationarity of ar(p) processes generated by nonlinear random functions with additive perturbations, The empirical distribution function and partial sum process of residuals from a stationary ARCH with drift process, Geometric Ergodicity and Moment Conditions for a Seasonal GARCH Model with Periodic Coefficients, Threshold \(\text{Arch}(1)\) processes: Asymptotic inference, ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS, ON THE CONDITIONAL HOMOSCEDASTICITY TEST IN AUTOREGRESSIVE MODEL WITH ARCH ERROR, A test of conditional heteroscedasticity in time series, Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.

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