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Stationarity and β-mixing property of a mixture AR-ARCH models

Title
Stationarity and β-mixing property of a mixture AR-ARCH models
Authors
Lee O.
Ewha Authors
이외숙
SCOPUS Author ID
이외숙scopus
Issue Date
2006
Journal Title
Bulletin of the Korean Mathematical Society
ISSN
1015-8634JCR Link
Citation
vol. 43, no. 4, pp. 813 - 820
Indexed
SCIE; SCOPUS; KCI scopus
Abstract
We consider a MAR model with ARCH type conditional heteroscedasticity. NIAR-ARCH model can be derived as a smoothed version of the double threshold AR-ARCH model by adding a random error to the threshold parameters. Easy to check sufficient conditions for strict stationarity. 3-mixing property and existence of moments of the model are given via Markovian representation technique.
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자연과학대학 > 통계학전공 > Journal papers
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