Publication:
A note on the geometric ergodicity of a nonlinear AR-ARCH model

Simple item page
dc.contributor.coauthorSaikkonen, Pentti
dc.contributor.departmentDepartment of Economics
dc.contributor.kuauthorMeitz, Mika
dc.contributor.schoolcollegeinstituteCollege of Administrative Sciences and Economics
dc.date.accessioned2024-11-09T23:37:26Z
dc.date.issued2010
dc.description.abstractThis note studies the geometric ergodicity of nonlinear autoregressive models with conditionally heteroskedastic errors. A nonlinear autoregression of order p (AR(p)) with the conditional variance specified as the conventional linear autoregressive conditional heteroskedasticity model of order q (ARCH(q)) is considered. Conditions under which the Markov chain representation of this nonlinear AR-ARCH model is geometrically ergodic and has moments of known order are provided. The obtained results complement those of Liebscher [Liebscher, E., 2005. Towards a unified approach for proving geometric ergodicity and mixing properties of nonlinear autoregressive processes, journal of Time Series Analysis, 26,669-689] by showing how his approach based on the concept of the joint spectral radius of a set of matrices can be extended to establish geometric ergodicity in nonlinear autoregressions with conventional ARCH(q) errors.
dc.description.indexedbyWOS
dc.description.indexedbyScopus
dc.description.issue45145
dc.description.openaccessYES
dc.description.publisherscopeInternational
dc.description.sponsoredbyTubitakEuN/A
dc.description.sponsorshipAcademy of Finland
dc.description.sponsorshipOkobank Group Research Foundation The second author acknowledges the financial support from the Academy of Finland and the Okobank Group Research Foundation. We thank a co-editor and an anonymous referee for helpful comments and suggestions.
dc.description.volume80
dc.identifier.doi10.1016/j.spl.2009.12.020
dc.identifier.eissn1879-2103
dc.identifier.issn0167-7152
dc.identifier.quartileQ4
dc.identifier.scopus2-s2.0-77049096704
dc.identifier.urihttps://doi.org/10.1016/j.spl.2009.12.020
dc.identifier.urihttps://hdl.handle.net/20.500.14288/12828
dc.identifier.wos276117900015
dc.keywordsTime-series
dc.keywordsAutoregressive models
dc.keywordsLyapounov exponent
dc.language.isoeng
dc.publisherElsevier Science Bv
dc.relation.ispartofStatistics and Probability Letters
dc.subjectStatistics
dc.subjectProbability
dc.titleA note on the geometric ergodicity of a nonlinear AR-ARCH model
dc.typeJournal Article
dspace.entity.typePublication
local.contributor.kuauthorMeitz, Mika
local.publication.orgunit1College of Administrative Sciences and Economics
local.publication.orgunit2Department of Economics
relation.isOrgUnitOfPublication7ad2a3bb-d8d9-4cbd-a6a3-3ca4b30b40c3
relation.isOrgUnitOfPublication.latestForDiscovery7ad2a3bb-d8d9-4cbd-a6a3-3ca4b30b40c3
relation.isParentOrgUnitOfPublication972aa199-81e2-499f-908e-6fa3deca434a
relation.isParentOrgUnitOfPublication.latestForDiscovery972aa199-81e2-499f-908e-6fa3deca434a

Files

Collections

Publications without Fulltext