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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Stability and the Lyapounov exponent of threshold AR-ARCH models (English)
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21 March 2005
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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.
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ARCH
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ergodicity
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Lyapounov exponent
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Markov chain
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nonlinear time series
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0.7975965738296509
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0.7836755514144897
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0.7784171104431152
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0.7707914710044861
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