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
Pages
22
From page
840
To page
861
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
Serial Year
2007
Journal title
Stochastic Processes and their Applications
Record number
1577892
Link To Document