Evaluating the Lyapounov Exponent and Existence of Moments for Threshold ARARCH Models Academic Article

abstract

• We demonstrate a reliable and computationally feasible method for determining whether a given threshold autoregression autoregressive conditional heteroscedastic (AR-ARCH) model is ergodic, and for determining which moments exist when it is ergodic. This method may be used to delineate the parameter space of the model. We show (for an order 2 model) that the parameter space is much less constrained than commonly is assumed. 2007 The Author Journal compilation 2007 Blackwell Publishing Ltd.

authors

• Cline, Daren

published proceedings

• Journal of Time Series Analysis

author list (cited authors)

• Cline, D.

citation count

• 29

complete list of authors

• Cline, Daren BH

publication date

• March 2007

publisher

• Wiley  Publisher

published in

• Journal of Time Series Analysis  Journal

keywords

• 49 Mathematical Sciences
• 4905 Statistics

Digital Object Identifier (DOI)

• 10.1111/j.1467-9892.2006.00508.x

start page

• 241

end page

• 260

volume

• 28

issue

• 2

URL

• http%3A%2F%2Fdx.doi.org%2F10.1111%2Fj.1467-9892.2006.00508.x