DOI QR코드

DOI QR Code

ON GEOMETRIC ERGODICITY OF AN AR-ARCH TYPE PROCESS WITH MARKOV SWITCHING

  • Lee, Oe-Sook ;
  • Shin, Dong-Wan
  • Published : 2004.03.01

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.

Keywords

Markov chain;ARCH type model;Markov switching;irreducibility;geometric ergodicity;moment

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  2. On geometric ergodicity of CHARME models vol.31, pp.3, 2010, https://doi.org/10.1111/j.1467-9892.2010.00651.x
  3. On geometric ergodicity of skewed—SVCHARME models vol.84, 2014, https://doi.org/10.1016/j.spl.2013.10.008
  4. Markov switching model of nonlinear autoregressive with skew-symmetric innovations vol.89, pp.4, 2019, https://doi.org/10.1080/00949655.2018.1563089