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

Oesook Lee; Dong Wan Shin

doi:10.4134/JKMS.2004.41.2.309

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

Oesook Lee, Dong Wan Shin

Department of Statistics

Research output: Contribution to journal › Article › peer-review

4 Scopus citations

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	https://doi.org/10.4134/JKMS.2004.41.2.309
State	Published - 2004

Keywords

ARCH type model
Geometric ergodicity
Irreducibility
Markov chain
Markov switching
Moment

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10.4134/JKMS.2004.41.2.309

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title = "On geometric ergodicity of an AR-ARCH type process with Markov switching",

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 = "ARCH type model, Geometric ergodicity, Irreducibility, Markov chain, Markov switching, Moment",

author = "Oesook Lee and Shin, \{Dong Wan\}",

year = "2004",

doi = "10.4134/JKMS.2004.41.2.309",

language = "English",

volume = "41",

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journal = "Journal of the Korean Mathematical Society",

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T1 - On geometric ergodicity of an AR-ARCH type process with Markov switching

AU - Lee, Oesook

AU - Shin, Dong Wan

PY - 2004

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AB - 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.

KW - ARCH type model

KW - Geometric ergodicity

KW - Irreducibility

KW - Markov chain

KW - Markov switching

KW - Moment

UR - https://www.scopus.com/pages/publications/20444387962

U2 - 10.4134/JKMS.2004.41.2.309

DO - 10.4134/JKMS.2004.41.2.309

M3 - Article

AN - SCOPUS:20444387962

SN - 0304-9914

VL - 41

SP - 309

EP - 318

JO - Journal of the Korean Mathematical Society

JF - Journal of the Korean Mathematical Society

IS - 2

ER -

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

Abstract

Keywords

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