DSpace at EWHA: Stationarity and β-mixing property of a mixture AR-ARCH models

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DC Field	Value	Language
dc.contributor.author	이외숙	-
dc.date.accessioned	2016-08-29T12:08:12Z	-
dc.date.available	2016-08-29T12:08:12Z	-
dc.date.issued	2006	-
dc.identifier.issn	1015-8634	-
dc.identifier.other	OAK-17757	-
dc.identifier.uri	https://dspace.ewha.ac.kr/handle/2015.oak/231178	-
dc.description.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.	-
dc.language	English	-
dc.title	Stationarity and β-mixing property of a mixture AR-ARCH models	-
dc.type	Article	-
dc.relation.issue	4	-
dc.relation.volume	43	-
dc.relation.index	SCIE	-
dc.relation.index	SCOPUS	-
dc.relation.index	KCI	-
dc.relation.startpage	813	-
dc.relation.lastpage	820	-
dc.relation.journaltitle	Bulletin of the Korean Mathematical Society	-
dc.identifier.scopusid	2-s2.0-33845468923	-
dc.author.google	Lee O.	-
dc.contributor.scopusid	이외숙(8425708300)	-
dc.date.modifydate	20220901081003	-