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

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.

author list (cited authors)

  • Cline, D.

citation count

  • 12

publication date

  • July 2007