Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations

DOI10.1515/snde-2020-0071OpenAlexW4283512621WikidataQ114133124 ScholiaQ114133124MaRDI QIDQ6138256

Publication date: 5 September 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://strathprints.strath.ac.uk/81261/1/Pan_He_SNDE_2022_Tail_behaviours_of_multiple_regime_threshold_AR_models.pdf

zbMATH Keywords

tail probability ergodicity heavy-tailed distribution threshold AR model

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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