scientific article; zbMATH DE number 1419979

MaRDI QIDQ4944579zbMATH OpenFDO

Authors Shiqing Ling

Publication date 21 August 2000

zbMATH Keywords

ARCH modelCHARMA modelergodicityexistence of finite-order momentsstationary

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on discrete state spaces (60J27) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Conditional Heteroscedastic Time Series Models
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• Stationarity and the existence of moments of a family of GARCH processes.
• scientific article; zbMATH DE number 1223592
• ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES

Cited in

(8)

• On some probabilistic properties of double periodic AR models
• On linear processes with dependent innovations
• Testing for parameter stability in \(RCA(1)\) time series
• Conditional Heteroscedastic Time Series Models
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• Asymptotic properties of the CARR model
• Mean-preserving rounding integer-valued ARMA models
• Random multiplication versus random sum: autoregressive-like models with integer-valued random inputs

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4944579)