Regular variation of order 1 nonlinear AR-ARCH models

Stochastic Processes and their Applications

Volumn 117, Issue 7, 2007, Pages 840-861

  Cline, Daren B H ^a  

^a TEXAS A AND M UNIVERSITY   (United States)

Author keywords

ARCH; Ergodicity; Regular variation; Stationary distribution; Stochastic recursion

Indexed keywords

COMPUTATIONAL GEOMETRY; LYAPUNOV FUNCTIONS; MARKOV PROCESSES; MATHEMATICAL MODELS; PROBABILITY DISTRIBUTIONS; SPECTRUM ANALYSIS;

ARCH; ERGODICITY; REGULAR VARIATION; STATIONARY DISTRIBUTION; STOCHASTIC RECURSION;

NONLINEAR EQUATIONS;

EID: 34248587431     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2006.10.009     Document Type: Article

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