L1 geometric ergodicity of a multivariate nonlinear AR model with an ARCH term
By Zudi Lu, Zhenyu Jiang. 2001
52 citations recorded by the source corpus.
Subfields: Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/37a43837e3686ab75d6af1901b22c65d3540c971
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Dennis Kristensen
- Anders Rahbek
- Mika Meitz
- Pentti Saikkonen
- Christian M. Hafner
- Christian Francq
- Arie Preminger
- Heejoon Han
In Statistics and Probability
- Pentti Saikkonen
- Mika Meitz
- Dennis Kristensen
- Anders Rahbek
- Maria Pacurar
- Marcelo C. Medeiros
- Álvaro Veiga
- Xiaohong Chen
Citations in the corpus
- Stability of nonlinear AR‐GARCH models (2008, unknown): “These results have been extended to allow for ARCH, but not GARCH, type conditional heteroskedasticity by Masry and Tjøstheim (1995), Lu (1998), Cline and Pu (1998), Cline and Pu (1999), Lu and Jiang (2001), Chen and Chen (2001), Saikkonen (2005), and Liebscher (2005).”
- ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS (2005, background): “Chen (2002), Lu and Jiang (2001) and Masry and Tjostheim (1995) for related results.”
- Stability and the Lyapounov exponent of threshold AR-ARCH Models (2004, unknown): “…Jagannathan and Runkle (1993), Rabemanajara and Zakoian (1993) and Zakoian (1994), as well as the addition of autoregression components, which may also be nonlinear [Li and Li (1996), Liu, Li and Li (1997), Lu (1998), Hwang and Woo (2001), Lu and Jiang (2001) and Lanne and Saikkonen (2004)].”
- A Double AR(p) Model: Structure and Estimation (2007, unknown): “Applying their results to (1.1), the weakest sufficient conditions for stationarity is from Lu and Jiang (2001), which is p ∑ i=1 |φi| + E|ηt| p ∑ i=1 αi 1, where E|ηt| = √ 2/π when ηt is normal.”
- ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS (2008, background): “…~for both Assumptions 2~c! and ~e!, see Lanne and Saikkonen, 2005; for Assumption 2~c!, see, among others,Masry and Tjøstheim, 1995; Lu, 1998; Lu and Jiang, 2001!+ Further conditions on the constant a, the function b~{!, and moments of the random variables «t will be imposed later+ It will…”