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

DOI10.1016/J.CAM.2008.08.037zbMATH Open1157.91424OpenAlexW2058070530MaRDI QIDQ1006014FDOQ1006014

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

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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)

Cites Work

• Markov chains and stochastic stability
• Basic properties of strong mixing conditions. A survey and some open questions
• Mixing Conditions for Markov Chains
• Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes
• Stability and the Lyapounov exponent of threshold AR-ARCH models
• Title not available (Why is that?)
• \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.
• Title not available (Why is that?)

Cited In (1)

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

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