Regular variation of order 1 nonlinear AR-ARCH models

DOI10.1016/J.SPA.2006.10.009MaRDI QIDQ886112zbMATH OpenOpenAlexFDO

Authors Daren B. H. Cline

Publication date 26 June 2007

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2006.10.009

zbMATH Keywords

ergodicityregular variationstationary distributionARCHstochastic recursion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Economic time series analysis (91B84) Stationary stochastic processes (60G10) Discrete-time Markov processes on general state spaces (60J05)

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Cited in

(10)

• Tail and nontail memory with applications to extreme value and robust statistics
• The tail empirical process of regularly varying functions of geometrically ergodic Markov chains
• Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models
• Least tail-trimmed squares for infinite variance autoregressions
• On nonergodicity for nonparametric autoregressive models
• Sample path properties of an explosive double autoregressive model
• Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models
• Ergodicity of a certain class of Non Feller Models: Applications toARCHand Markov switching models
• Mixtures of autoregressive-autoregressive conditionally heteroscedastic models: semi-parametric approach
• Robustness of iterated function systems of Lipschitz maps

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