A note on geometric ergodicity of autoregressive conditional heteroscedasticity (ARCH) model

DOI10.1016/S0167-7152(95)00233-2zbMath0885.62103WikidataQ127064171 ScholiaQ127064171MaRDI QIDQ1359748

Zu-di Lu

Publication date: 26 August 1997

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

zbMATH Keywords

Markov processesnonlinear time seriesARCH modelconditional heteroscedasticity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (10)

Stability of nonlinear AR(1) time series with delay ⋮ LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE: UNIFORM CONSISTENCY WITH CONVERGENCE RATES ⋮ LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE ⋮ Irreducibility and continuity assumptions for positive operators with application to threshold GARCH time series models ⋮ Bahadur representation of linear kernel quantile estimator of VaR under \(\alpha \)-mixing assumptions ⋮ Ergodicity and existence of moments for local mixtures of linear autoregressions ⋮ \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term. ⋮ A note on the Bahadur representation of sample quantiles for \(\alpha \)-mixing random variables ⋮ MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS ⋮ Asymptotics for partly linear regression with dependent samples and ARCH errors: Consistency with rates

Cites Work

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• Non-linear time series and Markov chains
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• ARMA MODELS WITH ARCH ERRORS
• General Irreducible Markov Chains and Non-Negative Operators
• Modelling the persistence of conditional variances
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS

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