Stationarity and geometric ergodicity of a class of nonlinear ARCH models
| dc.creator | Sa\"{ı}di, Youssef | |
| dc.creator | Zako\"{ı}an, Jean-Michel | |
| dc.date | 2007-02-14 | |
| dc.date.accessioned | 2026-07-07T07:46:54Z | |
| dc.date.available | 2026-07-07T07:46:54Z | |
| dc.description | 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. | |
| dc.description | Published at http://dx.doi.org/10.1214/105051606000000565 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org) | |
| dc.identifier | https://arxiv.org/abs/math/0702419 | |
| dc.identifier | http://arxiv.org/abs/math/0702419 | |
| dc.identifier | Annals of Applied Probability 2006, Vol. 16, No. 4, 2256-2271 | |
| dc.identifier | doi:10.1214/105051606000000565 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/123982 | |
| dc.subject | Probability | |
| dc.subject | 60G10, 60J05 (Primary) 62M10, 91B84 (Secondary) | |
| dc.title | Stationarity and geometric ergodicity of a class of nonlinear ARCH models | |
| dc.type | text |