\(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.

DOI10.1016/S0167-7152(00)00138-3zbMath1059.62585MaRDI QIDQ5933608

Zhenyu Jiang, Zu-di Lu

Publication date: 1 November 2001

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Markov chain\(L_1\) geometric ergodicityAutoregressionConditional heteroscedasticityMultivariate AR-ARCH (CHARN) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (23)

LOCAL INSTRUMENTAL VARIABLE METHOD FOR THE GENERALIZED ADDITIVE-INTERACTIVE NONLINEAR VOLATILITY MODEL ESTIMATION ⋮ LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE ⋮ On a vector double autoregressive model ⋮ Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models ⋮ Graphical modelling of multivariate time series ⋮ Asymptotic optimality of estimating function estimator for CHARN model ⋮ Estimating function approach for CHARN models ⋮ Stability of nonlinear AR-GARCH models ⋮ Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class ⋮ A note on the geometric ergodicity of a nonlinear AR-ARCH model ⋮ A simple additivity test for conditionally heteroscedastic nonlinear autoregression ⋮ Ergodicity and existence of moments for local mixtures of linear autoregressions ⋮ Kernel estimates of the mean and the volatility functions in a nonlinear autoregressive model with ARCH errors ⋮ Stability and the Lyapounov exponent of threshold AR-ARCH models ⋮ Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models ⋮ Ergodicity of a class of nonlinear time series models in random environment domain ⋮ Properties of some statistics for AR-ARCH model with application to technical analysis ⋮ ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS ⋮ Bayesian semiparametric double autoregressive modeling ⋮ ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS ⋮ Stationary bootstrapping for non-parametric estimator of nonlinear autoregressive model ⋮ Asymptotic Quasi-Likelihood Based on Kernel Smoothing for Multivariate Heteroschedastic Models with Correlation ⋮ Wilks' theorem for semiparametric regressions with weakly dependent data

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• ARCH modeling in finance. A review of the theory and empirical evidence
• Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space
• Nonparametric vector autoregression
• Identification of nonlinear time series from first order cumulative characteristics
• Ergodicity of nonlinear first order autoregressive models
• On geometric ergodicity of nonlinear autoregressive models
• A note on geometric ergodicity of autoregressive conditional heteroscedasticity (ARCH) model
• Local polynomial estimators of the volatility function in nonparametric autoregression
• Distribution-free strong consistency for nonparametric kernel regression involving nonlinear time series
• Non-linear time series and Markov chains
• General Irreducible Markov Chains and Non-Negative Operators
• Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
• The existence of moments for stationary Markov chains
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Nonparametric Identification of Nonlinear Time Series: Selecting Significant Lags

This page was built for publication: \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.