On stationarity and ergodicity of the bilinear model with applications to GARCH models

DOI10.1111/j.1467-9892.2008.00603.xzbMath1224.62063OpenAlexW3124502967MaRDI QIDQ3077644

Dennis Kristensen

Publication date: 22 February 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2008.00603.x

zbMATH Keywords

random coefficients modelsstrictly stationary solutionssubdiagonal bilinear model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items (14)

RENORMING VOLATILITIES IN A FAMILY OF GARCH MODELS ⋮ On periodic time-varying bilinear processes: structure and asymptotic inference ⋮ QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations ⋮ INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL ⋮ On general periodic time-varying bilinear processes ⋮ Local unit roots and global stationarity of TARMA models ⋮ A bivariate integer-valued bilinear autoregressive model with random coefficients ⋮ DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS ⋮ On the use of high frequency measures of volatility in MIDAS regressions ⋮ On the Markov-switching bilinear processes: stationarity, higher-order moments and β-mixing ⋮ On an independent and identically distributed mixture bilinear time-series model ⋮ Identification of stable elementary bilinear time-series model ⋮ ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS ⋮ Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models

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