Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations (Q6138256): Difference between revisions

@@ Property / cites work @@
+A note on the ergodicity of nonlinear autoregressive model
+Normal rank
@@ Property / cites work @@
+Q4715954
@@ Property / cites work: Q4715954 / rank @@
+Normal rank
@@ Property / cites work @@
+Tail dependence measure for examining financial extreme co-movements
+Normal rank
@@ Property / cites work @@
+The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
+Normal rank
@@ Property / cites work @@
+ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
+Normal rank
@@ Property / cites work @@
+A multiple-threshold AR(1) model
@@ Property / cites work: A multiple-threshold AR(1) model / rank @@
+Normal rank
@@ Property / cites work @@
+On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
+Normal rank
@@ Property / cites work @@
+On the ergodicity of \(TAR(1)\) processes
@@ Property / cites work: On the ergodicity of \(TAR(1)\) processes / rank @@
+Normal rank
@@ Property / cites work @@
+Stability of nonlinear AR(1) time series with delay
+Normal rank
@@ Property / cites work @@
+Limit theory for bilinear processes with heavy-tailed noise
+Normal rank
@@ Property / cites work @@
+Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
+Normal rank
@@ Property / cites work @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
+Normal rank
@@ Property / cites work @@
+Nonlinear autoregressive models with heavy-tailed innovation
+Normal rank
@@ Property / cites work @@
+Q4776689
@@ Property / cites work: Q4776689 / rank @@
+Normal rank
@@ Property / cites work @@
+On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
+Normal rank
@@ Property / cites work @@
+On a threshold autoregression with conditional heteroscedastic variances
+Normal rank
@@ Property / cites work @@
+On strict stationarity and ergodicity of a non-linear ARMA model
+Normal rank
@@ Property / cites work @@
+Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
+Normal rank
@@ Property / cites work @@
+Stationarity of stable power-GARCH processes.
@@ Property / cites work: Stationarity of stable power-GARCH processes. / rank @@
+Normal rank
@@ Property / cites work @@
+General Irreducible Markov Chains and Non-Negative Operators
+Normal rank
@@ Property / cites work @@
+Tail dependence of random variables from ARCH and heavy-tailed bilinear models
+Normal rank
@@ Property / cites work @@
+On tail behavior of nonlinear autoregressive functional conditional heteroscedastic model with heavy-tailed innovations
+Normal rank
@@ Property / cites work @@
+How does innovation's tail risk determine marginal tail risk of a stationary financial time series?
+Normal rank
@@ Property / cites work @@
+A threshold AR(1) model
@@ Property / cites work: A threshold AR(1) model / rank @@
+Normal rank
@@ Property / cites work @@
+Q4450667
@@ Property / cites work: Q4450667 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3771297
@@ Property / cites work: Q3771297 / rank @@
+Normal rank
@@ Property / cites work @@
+Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
+Normal rank
@@ Property / cites work @@
+Q3999154
@@ Property / cites work: Q3999154 / rank @@
+Normal rank
@@ Property / cites work @@
+Nonlinear Time Series Analysis
@@ Property / cites work: Nonlinear Time Series Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space
+Normal rank