Stationarity and geometric ergodicity of a class of nonlinear ARCH models

A class of nonlinear ARCH processes is introduced and studied. The existence of a strictly stationary and β-mixing solution is established under a mild assumption on the density of the underlying independent process. We give sufficient conditions for the existence of moments. The analysis relies on Markov chain theory. The model generalizes some important features of standard ARCH models and is amenable to further analysis.

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Year of publication:	2006
Authors:	Saidi, Youssef ; Zakoian, Jean-Michel

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Saidi, Youssef and Zakoian, Jean-Michel (2006): Stationarity and geometric ergodicity of a class of nonlinear ARCH models. Published in: The Annals of Applied Probability , Vol. 4, No. 16 (2006): pp. 2256-2271.
Classification:	C1 - Econometric and Statistical Methods: General ; C22 - Time-Series Models ; C5 - Econometric Modeling ; G1 - General Financial Markets
Source:	BASE

Persistent link: https://www.econbiz.de/10015246246