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

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DC Field	Value	Language
dc.contributor.author	이외숙	*
dc.contributor.author	신동완	*
dc.date.accessioned	2016-08-27T02:08:08Z	-
dc.date.available	2016-08-27T02:08:08Z	-
dc.date.issued	2004	*
dc.identifier.issn	0304-9914	*
dc.identifier.other	OAK-2054	*
dc.identifier.uri	https://dspace.ewha.ac.kr/handle/2015.oak/215794	-
dc.description.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.	*
dc.language	English	*
dc.publisher	KOREAN MATHEMATICAL SOCIETY	*
dc.subject	Markov chain	*
dc.subject	ARCH type model	*
dc.subject	Markov switching	*
dc.subject	irreducibility	*
dc.subject	geometric ergodicity	*
dc.subject	moment	*
dc.title	On geometric ergodicity of an AR-ARCH type process with Markov switching	*
dc.type	Article	*
dc.relation.issue	2	*
dc.relation.volume	41	*
dc.relation.index	SCIE	*
dc.relation.index	SCOPUS	*
dc.relation.index	KCI	*
dc.relation.startpage	309	*
dc.relation.lastpage	318	*
dc.relation.journaltitle	JOURNAL OF THE KOREAN MATHEMATICAL SOCIETY	*
dc.identifier.wosid	WOS:000220035500005	*
dc.author.google	Lee, O	*
dc.author.google	Shin, DW	*
dc.contributor.scopusid	이외숙(8425708300)	*
dc.contributor.scopusid	신동완(7403352539)	*
dc.date.modifydate	20240116115756	*