Geometric ergodicity of a general ARCH type model

DOI10.1007/BF02882455zbMath0886.62081MaRDI QIDQ1369769

Zu-di Lu

Publication date: 10 May 1998

Published in: Chinese Science Bulletin (Search for Journal in Brave)

zbMATH Keywords

geometric ergodicityautoregressive conditionally heteroscedastic models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• The existence of moments for stationary Markov chains
• Modelling the persistence of conditional variances
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Class of Nonlinear Arch Models
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