scientific article; zbMATH DE number 1932861

MaRDI QIDQ4709775zbMATH OpenFDO

Authors Marco Ferrante, Giovanni Fonseca, Paolo Vidoni

Publication date 23 June 2003

zbMATH Keywords

autoregressive conditional heteroskedasticityestimating functionsinvariant probabilitysimulationsstationary processesthreshold model

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(7)

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• A note on a simple Markov bilinear stochastic process
• Stability and the Lyapounov exponent of threshold AR-ARCH models
• A note on geometric ergodicity of a multiple threshold AR(1) processes on the boundary region with application to integrated m-m processes
• On an independent and identically distributed mixture bilinear time-series model
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• On the existence of stationary threshold bilinear processes

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