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A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models

Blasques, Francisco; Nientker, Marc - 2017

Persistent link: https://www.econbiz.de/10011819465

A stochastic recurrence equation approach to stationarity and phi-mixing of a class of nonlinear ARCH models

Blasques, Francisco; Nientker, Marc - 2017

This article generalises the results of Sadi and Zakoian (2006) to a considerably larger class of nonlinear ARCH models with discontinuities, leverage e ects and robust news impact curves. We propose a new method of proof for the existence of a strictly stationary and phi-mixing solution....

Persistent link: https://www.econbiz.de/10011699508

Stability conditions for a Piecewise Deterministic Markov Process

Giovanni, Fonseca - Facoltà di Economia, Università degli Studi dell'Insubria - 2005

ergodicity of the process under two different assumptions on the jumps. …

Persistent link: https://www.econbiz.de/10005827377

Testing for the best alternative with an application to performance measurement

Frahm, Gabriel - 2007

Suppose that we are searching for the maximum of many unknown and analytically untractable quantities or, say, the 'best alternative' among several candidates. If our decision is based on historical or simulated data there is some sort of selection bias and it is not evident if our choice is...

Persistent link: https://www.econbiz.de/10010304419

Stationarity and the existence of moments of a family of GARCH processes

Ling, Shiqing; MacAleer, Michael - 2001

This paper investigates some structural properties of a family of GARCH processes. A simple sufficient condition for the existence of the αδ-order stationary solution of the processes is derived, where α element of (0, 1] and δ 0. The solution is strictly stationary and ergodic, and the...

Persistent link: https://www.econbiz.de/10010332324

The competition of user networks: Ergodicity, lock-ins, and metastability

Woeckener, Bernd W. - 1998

probability maximum for a finite period of time. Then, unlike in the case of ergodicity or of simple lock-in scenarios, the …

Persistent link: https://www.econbiz.de/10010435581

What do we know about the labor share and the profit share? Part I: Theories

Giovannoni, Olivier - 2014

This series of working papers explores a theme enjoying a tremendous resurgence: the functional distribution of income - the division of aggregate income by factor share. This first installment surveys some landmark theories of income distribution. Some provide a technology-based account of the...

Persistent link: https://www.econbiz.de/10010513050

The competition of user networks: Ergodicity, lock-ins, and metastability

Woeckener, Bernd W. - Wirtschaftswissenschaftlichen Fakultät, … - 1998

probability maximum for a finite period of time. Then, unlike in the case of ergodicity or of simple lock-in scenarios, the …

Persistent link: https://www.econbiz.de/10011097469

Seeking Ergodicity in Dynamic Economies

Kamihigashi, Takashi; Stachurski, John - Institut de Préparation à l'Administration et à la … - 2014

In both estimation and calibration studies, the notion of ergodicity plays a fundamental role, permitting time series … quantitative modeling do not satisfy the classical ergodicity conditions. In this paper we develop a new set of ergodicity …. Itâ€™s notable that the classical ergodicity results can be recovered as a special case of our main theorem. …

Persistent link: https://www.econbiz.de/10011161638

Maximal coupling of empirical copulas for discrete vectors

Faugeras, Olivier P. - In: Journal of Multivariate Analysis 137 (2015) C, pp. 179-186

of ergodicity of the sample, a framework which encompasses most types of serial dependence encountered in practice …

Persistent link: https://www.econbiz.de/10011263467