L1 geometric ergodicity of a multivariate nonlinear AR model with an ARCH term

Statistics and Probability Letters

Volumn 51, Issue 2, 2001, Pages 121-130

  Lu, Zudi ^a,b   Jiang, Zhenyu ^c  

^a UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

^b INSTITUTE OF GEOLOGY AND GEOPHYSICS   (China)

^c BEIJING INFORMATION TECHNOLOGY INSTITUTE   (China)

Author keywords

Autoregression; Conditional heteroscedasticity; L1 geometric ergodicity; Markov chain; Multivariate AR ARCH (CHARN) model

Indexed keywords

EID: 0041364641     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-7152(00)00138-3     Document Type: Article

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