Regular variation of order 1 nonlinear AR-ARCH models Academic Article

abstract

• We prove both geometric ergodicity and regular variation of the stationary distribution for a class of nonlinear stochastic recursions that includes nonlinear AR-ARCH models of order 1. The Lyapounov exponent for the model, the index of regular variation and the spectral measure for the regular variation all are characterized by a simple two-state Markov chain. 2006 Elsevier Ltd. All rights reserved.

authors

• Cline, Daren

published proceedings

• Stochastic Processes and their Applications

author list (cited authors)

• Cline, D.

citation count

• 15

complete list of authors

• Cline, Daren BH

publication date

• January 2007

publisher

• Elsevier  Publisher

published in

• Stochastic Processes and their Applications  Journal

Digital Object Identifier (DOI)

• 10.1016/j.spa.2006.10.009

start page

• 840

end page

• 861

volume

• 117

issue

• 7

URL

• http%3A%2F%2Fdx.doi.org%2F10.1016%2Fj.spa.2006.10.009