\(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term. (Q5933608)
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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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0.8347962498664856
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0.8342066407203674
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0.8332739472389221
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0.8232867121696472
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