The stochastic equation Yn+1=AnYn + Bn with stationary coefficients

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Tail of the stationary solution of the stochastic equation \(Y_{n+1}=a_{n} Y_{n}+b_{n}\) with Markovian coefficients
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On the multidimensional stochastic equation \(Y_{n+1}=A_{n} Y_{n}+B_{n}\)
Stochastic vector difference equations with stationary coefficients
scientific article; zbMATH DE number 30697

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Strong approximation for a class of stationary processes
Tail probabilities for infinite series of regularly varying random vectors
Augmented GARCH sequences: Dependence structure and asymptotics
Periodic stationarity of random coefficient periodic autoregressions
A law of large numbers and central limit theorem for the logarithm of an autoregressive process with a stationary driving sequence
An ABS algorithm for a class of systems of stochastic linear equations
Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process
Break detection in the covariance structure of multivariate time series models
Random walks generated by affine mappings
Stationarity of GARCH processes and of some nonnegative time series
Stationary waiting time derivatives
The random difference equation \(X_ n = A_ n X_{n-1} + B_ n\) in the critical case
Augmented GARCH\((p,q)\) process and its diffusion limit
An introduction to stochastic unit-root processes
A stochastic model for evolution of sociality in insects.
EGARCH models with fat tails, skewness and leverage
Stochastic dominance and thick-tailed wealth distributions
Critical thresholds for eventual extinction in randomly disturbed population growth models
The ZD-GARCH model: a new way to study heteroscedasticity
Parameter estimation of Markov switching bilinear model using the (EM) algorithm
Optimal rate for covariance operator estimators of functional autoregressive processes with random coefficients
Regular variation of GARCH processes.
Stability and the Lyapounov exponent of threshold AR-ARCH models
A test of correlation in the random coefficients of an autoregressive process
Eaton's Markov chain, its conjugate partner and \(\mathcal P\)-admissibility
Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
Stability of perpetuities
On random coefficient INAR(1) processes
Random linear recursions with dependent coefficients
Estimation of weak ARMA models with regime changes
Correlated risks vs contagion in stochastic transition models
A multiplicative version of the Lindley recursion
QML estimation of asymmetric Markov switching GARCH(p,q) processes
Resolvent estimators for functional autoregressive processes with random coefficients
Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions
Tails of bivariate stochastic recurrence equation with triangular matrices
Interplay of financial and insurance risks in dependent discrete-time risk models
Fractal attractors and singular invariant measures in two-sector growth models with random factor shares
Stationary bubble equilibria in rational expectation models
On the ARCH model with stationary liquidity
Non-standard limits for a family of autoregressive stochastic sequences
Chasing volatility. A persistent multiplicative error model with jumps
Locally most powerful test for the random coefficient autoregressive model
Bequests, estate taxes, and wealth distributions
A Becker-Tomes model with investment risk
Heavy-tails in Kalman filtering with packet losses
Time-varying rational expectations models
Covariance operator estimation of a functional autoregressive process with random coefficients
Conditions for convergence of random coefficient \(\mathrm{AR}(1)\) processes and perpetuities in higher dimensions
A note on integrated periodic \textit{GARCH} processes
On queues with service and interarrival times depending on waiting times
Expected waiting time in symmetric polling systems with correlated walking times
One-dimensional linear recursions with Markov-dependent coefficients
On non-ergodic asset prices
Random coefficient \(\text{GARCH}(1,1)\) model with i.i.d. coefficients.
Tail behavior of a threshold autoregressive stochastic volatility model
Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
On stationarity and \(\beta\)-mixing property of certain nonlinear \(\text{GARCH}(p,q)\) models
Renewal regime switching and stable limit laws
Comments on the presence of serial correlation in the random coefficients of an autoregressive process
Identification of seasonal effects in impulse responses using score-driven multivariate location models
Tail indices for \(AX+B\) recursion with triangular matrices
A simple joint model for returns, volatility and volatility of volatility
A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
Multivariate Markov-switching score-driven models: an application to the global crude oil market
The stochastic equation \(Y_{t+1}= A_t Y_t+ B_t\) with non-stationary coefficients
A stochastic-difference-equation model for hedge-fund returns
Threshold vector ARMA models
On the Markov-switching bilinear processes: stationarity, higher-order moments and -mixing
Seeking ergodicity in dynamic economies
Monitoring changes in RCA models
Divergent perpetuities modulated by regime switches
Estimation and asymptotic properties in periodic GARCH(1,1) models
Implicit renewal theory and power tails on trees
Exchangeability and Infinite Divisibility
Information ranking and power laws on trees
On a class of estimators in a multivariate RCA(1) model
Random series with time-varying discounting
On the quasi-likelihood estimation for random coefficient autoregressions
A stochastic difference equation with stationary noise on groups
On a random-coefficient AR(1) process with heavy-tailed renewal switching coefficient and heavy-tailed noise
On some nonstationary, nonlinear random processes and their stationary approximations
Existence of moments in a stationary stochastic difference equation
On Markov-switching ARMA processes-stationarity, existence of moments, and geometric ergodicity
Aggregation of a random-coefficient AR(1) process with infinite variance and idiosyncratic innovations
Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models
On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
STATIONARITY OF THE SOLUTION OF X_t= A_tX_t-1+ ε_tAND ANALYSIS OF NON-GAUSSIAN DEPENDENT RANDOM VARIABLES
The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
Tail behavior of solutions of linear recursions on trees
On general periodic time-varying bilinear processes
Local unit roots and global stationarity of TARMA models
RECURSIVE ESTIMATION IN SWITCHING AUTOREGRESSIONS WITH A MARKOV REGIME
A Microeconomic Approach to Diffusion Models For Stock Prices
Linear diffusion with stationary switching regime
Stability of linear stochastic difference equations in strategically controlled random environments
Random coefficient autoregression, regime switching and long memory
Bayesian non-parametric mixtures of GARCH(1,1) models
Renorming volatilities in a family of GARCH models
THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS

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