Regular variation of order 1 nonlinear AR-ARCH models (Q886112)

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Language	Label	Description	Also known as
English	Regular variation of order 1 nonlinear AR-ARCH models	scientific article

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scholarly article

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Regular variation of order 1 nonlinear AR-ARCH models (English)

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zbMATH Open document ID

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10.1016/j.spa.2006.10.009

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Daren B. H. Cline

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Stochastic Processes and their Applications

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publication date

26 June 2007

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Mathematics Subject Classification ID

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zbMATH DE Number

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zbMATH Keywords

ARCH

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ergodicity

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regular variation

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stationary distribution

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stochastic recursion

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.spa.2006.10.009

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Regular variation of GARCH processes.

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Extremal behavior of the autoregressive process with ARCH(1) errors

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Asymptotic behaviour of the sample autocovariance and autocorrelation function of the \(AR(1)\) process with \(\text{ARCH}(1)\) errors

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The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors

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Strict stationarity of generalized autoregressive processes

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Stationarity of GARCH processes and of some nonnegative time series

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Verifying irreducibility and continuity of a nonlinear time series

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A note on a simple Markov bilinear stochastic process

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Stability and the Lyapounov exponent of threshold AR-ARCH models

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The sample autocorrelations of heavy-tailed processes with applications to ARCH

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Tail behaviour of the stationary density of general non-linear autoregressive processes of order 1

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Polya Peaks and the Oscillation of Positive Functions

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Implicit renewal theory and tails of solutions of random equations

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Products of random affine transformations

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Extremal behavior of regularly varying stochastic processes

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Functional large deviations for multivariate regularly varying random walks

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Random difference equations and renewal theory for products of random matrices

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The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model.

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Markov chains and stochastic stability

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Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.

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Tail of the stationary solution of the stochastic equation \(Y_{n+1}=a_{n} Y_{n}+b_{n}\) with Markovian coefficients

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On a stochastic difference equation and a representation of non–negative infinitely divisible random variables

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Mathematics(1 entry)

mardi Publication:886112

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