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On geometric ergodicity of an AR-ARCH type process with Markov switching

신동완|이외숙
대한수학회 (The Korean Mathematical Society)|2004.03|대한수학회지 (Journal of the KMS)|제41권 제2호|pp. 309-318

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키워드

Markov chainirreducibilityARCH type modelMarkov switchinggeometric ergodicitymoment.
주제분류수학

초록

We consider a nonlinear AR-ARCH type process subject to Markov-switching and give sufficient conditions for geometric ergodicity of the process. Existence of moments is also obtained.

Abstract

We consider a nonlinear AR-ARCH type process subject to Markov-switching and give sufficient conditions for geometric ergodicity of the process. Existence of moments is also obtained.

참고문헌 (24)

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관련 논문AI추천

Irreducibility of ARMA($p,q$) process with Markov switching이외숙대한수학회 · 대한수학회논문집2006 · 제21권 제3호On stationarity of nonlinear AR processes with nonlinear ARCH errorsMinhee Kim, Oesook Lee대한수학회 · 대한수학회논문집2002 · 제17권 제2호Stationarity and $\beta$-mixing property of a mixture AR-ARCH models이외숙대한수학회 · 대한수학회보2006 · 제43권 제4호A study on GARCH$(p,q)$ processOesook Lee대한수학회 · 대한수학회논문집2003 · 제18권 제3호A note on exponential almost sure stability of stochastic differential equationDichuan Yang, Qingshuo Song, Xuerong Mao대한수학회 · 대한수학회보2014 · 제51권 제1호PRECISE ASYMPTOTICS FOR THE MOMENT CONVERGENCE OF MOVING-AVERAGE PROCESS UNDER DEPENDENCEKe-Ang Fu, Qing-Pei Zang대한수학회 · 대한수학회보2010 · 제47권 제3호

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