Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models
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- A NOTE ON A MARKOV BILINEAR STOCHASTIC PROCESS IN DISCRETE TIME
- A multiplicative ergodic theorem for Lipschitz maps
- A new class of markov processes for image encoding
- Estimation and Testing Stationarity for Double-Autoregressive Models
- Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models
- FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
- Geometric transience of nonlinear time series
- Iterated Random Functions
- Limit theorems for iterated random functions by regenerative methods.
- Locally contracting iterated functions and stability of Markov chains
- Locally contractive iterated function systems
- Markov chains and stochastic stability
- Non‐linear GARCH models for highly persistent volatility
- On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
- On a threshold autoregression with conditional heteroscedastic variances
- On stationarity and \(\beta\)-mixing property of certain nonlinear \(\text{GARCH}(p,q)\) models
- On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
- On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
- Products of random affine transformations
- Properties of moments of a family of GARCH processes
- Regular variation of GARCH processes.
- Regular variation of order 1 nonlinear AR-ARCH models
- Stability and the Lyapounov exponent of threshold AR-ARCH models
- Stability of nonlinear AR-GARCH models
- Stability of perpetuities
- Stationarity of GARCH processes and of some nonnegative time series
- Strict stationarity of generalized autoregressive processes
- Tail of the stationary solution of the stochastic equation \(Y_{n+1}=a_{n} Y_{n}+b_{n}\) with Markovian coefficients
- The \(L^2\)-structures of standard and switching-regime GARCH models
- The stochastic equation Yn+1=AnYn + Bn with stationary coefficients
- The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model.
- The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
- Threshold \(\text{Arch}(1)\) processes: Asymptotic inference
- Threshold models in non-linear time series analysis
- Threshold variable determination and threshold variable driven switching autoregressive mod\-els
- \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.
Cited in
(11)- A Bayesian Quantile Time Series Model for Asset Returns
- ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
- A local unit root test in mean for financial time series
- Stability and the Lyapounov exponent of threshold AR-ARCH models
- Estimation and asymptotic inference in the AR-ARCH model
- Autoregressive functions estimation in nonlinear bifurcating autoregressive models
- Parameter estimation in nonlinear AR-GARCH models
- Robustness of iterated function systems of Lipschitz maps
- Stability of nonlinear AR-GARCH models
- An alternative GARCH-in-mean model: structure and estimation
- Regular variation of order 1 nonlinear AR-ARCH models
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