Stability and the Lyapounov exponent of threshold AR-ARCH models (Q1769418)
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|---|---|---|---|
| English | Stability and the Lyapounov exponent of threshold AR-ARCH models |
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A new approach, called the piggyback method, for determining stability of nonlinear time series is studied. For ARCH models, this method gives opportunity to express stability conditions in terms related to a more basic process. A sharp condition for stability and Lyapounov exponent's identification are given. Numerous examples are considered. Comparison with another approaches to verifying stability and detailed discussion are given.
