Title of article :
Regular variation of order 1 nonlinear AR-ARCH models
Author/Authors :
Cline، نويسنده , , Daren B.H. and Pu، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2007
Abstract :
We prove both geometric ergodicity and regular variation of the stationary distribution for a class of nonlinear stochastic recursions that includes nonlinear AR-ARCH models of order 1. The Lyapounov exponent for the model, the index of regular variation and the spectral measure for the regular variation all are characterized by a simple two-state Markov chain.
Keywords :
Ergodicity , Regular variation , Stationary distribution , ARCH , Stochastic recursion
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications