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.
| Original language | English |
|---|---|
| Pages (from-to) | 309-318 |
| Number of pages | 10 |
| Journal | Journal of the Korean Mathematical Society |
| Volume | 41 |
| Issue number | 2 |
| DOIs | |
| State | Published - 2004 |
Keywords
- ARCH type model
- Geometric ergodicity
- Irreducibility
- Markov chain
- Markov switching
- Moment
Fingerprint
Dive into the research topics of 'On geometric ergodicity of an AR-ARCH type process with Markov switching'. Together they form a unique fingerprint.Cite this
- APA
- Author
- BIBTEX
- Harvard
- Standard
- RIS
- Vancouver