Geometric ergodicity of a general ARCH type model

DOI10.1007/BF02882455MaRDI QIDQ1369769zbMATH OpenFDO

Authors Zudi Lu

Publication date 10 May 1998

Published in Chinese Science Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02882455

zbMATH Keywords

autoregressive conditionally heteroscedastic modelsgeometric ergodicity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Review text

The purpose of this letter is to study in a unified way the geometric ergodicity of a lot of autoregressive conditionally heteroscedastic (ARCH) models appearing in some references.

Cites work

• A Class of Nonlinear Arch Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 774844 (Why is no real title available?)
• Modelling the persistence of conditional variances
• The existence of moments for stationary Markov chains

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