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

Access to Document

10.4134/BKMS.2006.43.4.813

Cite this

@article{5c495408249540fd90f8f4ae2cd40d5c,

title = "Stationarity and β-mixing property of a mixture AR-ARCH models",

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.",

keywords = "Geometric ergodicity, Markov chain, Mixture AR-ARCH model, Stationarity, β-mixing",

author = "Oesook Lee",

year = "2006",

month = nov,

doi = "10.4134/BKMS.2006.43.4.813",

language = "English",

volume = "43",

pages = "813--820",

journal = "Bulletin of the Korean Mathematical Society",

issn = "1015-8634",

publisher = "Korean Mathematical Society",

number = "4",

}

TY - JOUR

T1 - Stationarity and β-mixing property of a mixture AR-ARCH models

AU - Lee, Oesook

PY - 2006/11

Y1 - 2006/11

N2 - 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.

AB - 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.

KW - Geometric ergodicity

KW - Markov chain

KW - Mixture AR-ARCH model

KW - Stationarity

KW - β-mixing

UR - https://www.scopus.com/pages/publications/33845468923

U2 - 10.4134/BKMS.2006.43.4.813

DO - 10.4134/BKMS.2006.43.4.813

M3 - Article

AN - SCOPUS:33845468923

SN - 1015-8634

VL - 43

SP - 813

EP - 820

JO - Bulletin of the Korean Mathematical Society

JF - Bulletin of the Korean Mathematical Society

IS - 4

ER -

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

Abstract

Keywords

Access to Document

Fingerprint

Cite this