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A note on the geometric ergodicity of a nonlinear AR–ARCH model
Meitz, Mika; Saikkonen, Pentti - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2010
This note studies the geometric ergodicity of nonlinear autoregressive models with conditionally heteroskedastic errors. A nonlinear autoregression of order p (AR(p)) with the conditional variance specified as the conventional linear autoregressive conditional heteroskedasticity model of order q...
Persistent link: https://www.econbiz.de/10008543442
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Stability of nonlinear AR-GARCH models
Meitz, Mika; Saikkonen, Pentti - Department of Economics, Oxford University - 2007
distribution such that the process is strictly stationary and β-mixing. Conditions under which the stationary distribution has …
Persistent link: https://www.econbiz.de/10004977882
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Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models
Meitz, Mika; Saikkonen, Pentti - Department of Economics, Oxford University - 2007
that the joint process is strictly stationary and â-mixing. In addition to this, conditions for the existence of moments …
Persistent link: https://www.econbiz.de/10005047884