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

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dc.contributor.coauthorSaikkonen, Pentti
dc.contributor.departmentDepartment of Economics
dc.contributor.kuauthorMeitz, Mika
dc.contributor.kuprofileFaculty Member
dc.contributor.otherDepartment of Economics
dc.contributor.schoolcollegeinstituteCollege of Administrative Sciences and Economics
dc.contributor.yokidN/A
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.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.urihttp://dx.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.languageEnglish
dc.publisherElsevier Science Bv
dc.sourceStatistics 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.authorid0000-0002-0661-7218
local.contributor.kuauthorMeitz, Mika
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relation.isOrgUnitOfPublication.latestForDiscovery7ad2a3bb-d8d9-4cbd-a6a3-3ca4b30b40c3

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