ON GEOMETRIC ERGODICITY OF AN AR-ARCH TYPE PROCESS WITH MARKOV SWITCHING

DOI10.4134/JKMS.2004.41.2.309zbMath1044.62094OpenAlexW37795500MaRDI QIDQ4464084

Dong Wan Shin, Oesook Lee

Publication date: 27 May 2004

Published in: Journal of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4134/jkms.2004.41.2.309

zbMATH Keywords

momentsMarkov switchingirreducibilitygeometric ergodicityARCH type model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (3)

Markov switching model of nonlinear autoregressive with skew-symmetric innovations ⋮ On geometric ergodicity of skewed-SVCHARME models ⋮ On geometric ergodicity of CHARME models

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