Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models

DOI10.1239/AAP/1183667619zbMATH Open1143.62051OpenAlexW1967843139MaRDI QIDQ3590747FDOQ3590747

Authors: Daren B. H. Cline 

Publication date: 3 September 2007

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1183667619

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zbMATH Keywords

ergodicityARCHstationary distributionsstochastic recursionsthreshold AR-GARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Discrete-time Markov processes on general state spaces (60J05)

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Cited In (11)

• Parameter estimation in nonlinear AR-GARCH models
• Regular variation of order 1 nonlinear AR-ARCH models
• ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
• Estimation and asymptotic inference in the AR-ARCH model
• A local unit root test in mean for financial time series
• Robustness of iterated function systems of Lipschitz maps
• Stability and the Lyapounov exponent of threshold AR-ARCH models
• A Bayesian Quantile Time Series Model for Asset Returns
• Autoregressive functions estimation in nonlinear bifurcating autoregressive models
• Stability of nonlinear AR-GARCH models
• An alternative GARCH-in-mean model: structure and estimation

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