The geometric ergodicity and existence of moments for a class of non-linear time series model

In this paper we consider the non-linear time series model xt=[var epsilon]t([alpha]0+[alpha]1xt-1r[beta]+...+[alpha]pxt-pr[beta])1/r. When r = 2 it is called the [beta]-ARCH(p) model. We examine the geometric ergodicity and the existence of higher-order moments for this model.

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Year of publication:	1997
Authors:	An, Hongzhi ; Chen, Min ; Huang, Fuchun
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 31.1997, 3, p. 213-224
Publisher:	Elsevier
Keywords:	Nonlinear time series [beta]-ARCH model Markov chain Geometric ergodicity Higher-order moments

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254981