DSpace at EWHA: On geometric ergodicity of an AR-ARCH type process with Markov switching

Browse

My Repository

DSpace at EWHA자연과학대학 통계학전공 Journal papers

View : 1029 Download: 0

On geometric ergodicity of an AR-ARCH type process with Markov switching

Title: On geometric ergodicity of an AR-ARCH type process with Markov switching

Authors: Lee, O; Shin, DW

Ewha Authors: 이외숙; 신동완

SCOPUS Author ID: 이외숙; 신동완

Issue Date: 2004

Journal Title: JOURNAL OF THE KOREAN MATHEMATICAL SOCIETY

ISSN: 0304-9914

Citation: JOURNAL OF THE KOREAN MATHEMATICAL SOCIETY vol. 41, no. 2, pp. 309 - 318

Keywords: Markov chain; ARCH type model; Markov switching; irreducibility; geometric ergodicity; moment

Publisher: KOREAN MATHEMATICAL SOCIETY

Indexed: SCIE; SCOPUS; KCI

Document Type: Article

Abstract: We consider a nonlinear AR-ARCH type process subject to Markov-switching and give sufficient conditions for geometric ergodicity of the process. Existence of moments is also obtained.

Appears in Collections:: 자연과학대학 > 통계학전공 > Journal papers

Files in This Item:

Export: RIS (EndNote); XLS (Excel); XML

Show full item record

Find@EWHA

qrcode

: search

BROWSE