Stationarity and β-mixing property of a mixture AR-ARCH models

Oesook Lee

doi:10.4134/BKMS.2006.43.4.813

Stationarity and β-mixing property of a mixture AR-ARCH models

Oesook Lee

Department of Statistics

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

1 Scopus citations

Abstract

We consider a MAR model with ARCH type conditional heteroscedasticity. NIAR-ARCH model can be derived as a smoothed version of the double threshold AR-ARCH model by adding a random error to the threshold parameters. Easy to check sufficient conditions for strict stationarity. 3-mixing property and existence of moments of the model are given via Markovian representation technique.

Original language	English
Pages (from-to)	813-820
Number of pages	8
Journal	Bulletin of the Korean Mathematical Society
Volume	43
Issue number	4
DOIs	https://doi.org/10.4134/BKMS.2006.43.4.813
State	Published - Nov 2006

Keywords

Geometric ergodicity
Markov chain
Mixture AR-ARCH model
Stationarity
β-mixing

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10.4134/BKMS.2006.43.4.813

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Stationarity and β-mixing property of a mixture AR-ARCH models

Abstract

Keywords

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