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

DOI10.1016/j.cam.2008.08.037zbMath1157.91424OpenAlexW2058070530MaRDI QIDQ1006014

Wei Liu, Xudong Huang

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

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

Cites Work

• Unnamed Item
• Unnamed Item
• Markov chains and stochastic stability
• Basic properties of strong mixing conditions. A survey and some open questions
• Stability and the Lyapounov exponent of threshold AR-ARCH models
• Mixing Conditions for Markov Chains
• 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.

This page was built for publication: Properties of some statistics for AR-ARCH model with application to technical analysis