Properties of some statistics for AR-ARCH model with application to technical analysis

DOI10.1016/J.CAM.2008.08.037MaRDI QIDQ1006014zbMATHOpenAlexFDO

Authors Xudong Huang, Wei Liu

Publication date 17 March 2009

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2008.08.037

zbMATH Keywords

rate of convergencestrong mixingAR-ARCH modelasymptotically stationarytechnical analysis indexes

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 148768 (Why is no real title available?)
• scientific article; zbMATH DE number 1239650 (Why is no real title available?)
• Basic properties of strong mixing conditions. A survey and some open questions
• Markov chains and stochastic stability
• Mixing Conditions for Markov Chains
• Stability and the Lyapounov exponent of threshold AR-ARCH models
• Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes
• \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.

Cited in

(1)

• Properties of corresponding statistics of the technical analysis indexes on a SARV model

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