Sample path properties of an explosive double autoregressive model
Year of publication: |
2018
|
---|---|
Authors: | Liu, Feng ; Li, Dong ; Kang, Xinmei |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 37.2018, 1/5, p. 484-490
|
Subject: | Double AR model | explosion | geometric Brownian motion | Lyapunov exponent | nonstationarity | random coefficient AR model | Stochastischer Prozess | Stochastic process | Theorie | Theory |
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