Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations

DOI10.1515/snde-2020-0071OpenAlexW4283512621WikidataQ114133124 ScholiaQ114133124MaRDI QIDQ6138256

Jiazhu Pan, Yali He

Publication date: 5 September 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://strathprints.strath.ac.uk/81261/1/Pan_He_SNDE_2022_Tail_behaviours_of_multiple_regime_threshold_AR_models.pdf

zbMATH Keywords

tail probabilityergodicityheavy-tailed distributionthreshold AR model

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Tail dependence measure for examining financial extreme co-movements
• On tail behavior of nonlinear autoregressive functional conditional heteroscedastic model with heavy-tailed innovations
• On the ergodicity of \(TAR(1)\) processes
• Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space
• Limit theory for bilinear processes with heavy-tailed noise
• A note on the ergodicity of nonlinear autoregressive model
• On a threshold autoregression with conditional heteroscedastic variances
• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
• Stability of nonlinear AR(1) time series with delay
• Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Stationarity of stable power-GARCH processes.
• The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
• How does innovation's tail risk determine marginal tail risk of a stationary financial time series?
• Tail dependence of random variables from ARCH and heavy-tailed bilinear models
• Nonlinear autoregressive models with heavy-tailed innovation
• A threshold AR(1) model
• General Irreducible Markov Chains and Non-Negative Operators
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• A multiple-threshold AR(1) model
• ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• On strict stationarity and ergodicity of a non-linear ARMA model
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• Nonlinear Time Series Analysis

This page was built for publication: Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations