On geometric ergodicity of skewed-SVCHARME models

DOI10.1016/J.SPL.2013.10.008MaRDI QIDQ2444396zbMATH OpenOpenAlexFDO

Authors Jerzy P. Rydlewski, Małgorzata Snarska

Publication date 9 April 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1209.1544

zbMATH Keywords

mixture modelsirreducibilitygeometric ergodicityMarkov switchingasymmetric stochastic volatility

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Computational methods in Markov chains (60J22) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Dynamical systems and their relations with probability theory and stochastic processes (37A50)

Abstract: Markov Chain Monte Carlo is repeatedly used to analyze the properties of intractable distributions in a convenient way. In this paper we derive conditions for geometric ergodicity of a general class of nonparametric stochastic volatility models with skewness driven by hidden Markov Chain with switching.

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Cites work

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Cited in

(4)

• On geometric ergodicity of CHARME models
• scientific article; zbMATH DE number 3928011 (Why is no real title available?)
• Geometric Ergodicity of van Dyk and Meng's Algorithm for the Multivariate Student'stModel
• On the geometric ergodicity of the mixture autoregressive model

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