\(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term. (Q5933608): Difference between revisions

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Latest revision as of 16:19, 3 June 2024

scientific article; zbMATH DE number 1599538
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English
\(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.
scientific article; zbMATH DE number 1599538

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    \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term. (English)
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    1 November 2001
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    Autoregression
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    Conditional heteroscedasticity
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    \(L_1\) geometric ergodicity
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    Markov chain
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    Multivariate AR-ARCH (CHARN) model
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