Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models

Advances in Applied Probability

Volumn 39, Issue 2, 2007, Pages 462-491

  Cline, Daren B H ^a  

^a TEXAS A AND M UNIVERSITY   (United States)

Author keywords

Ergodicity; GARCH model; Stationary distribution; Stochastic recursion

Indexed keywords

LYAPUNOV FUNCTIONS; NONLINEAR ANALYSIS; PROBABILITY DISTRIBUTIONS; STOCHASTIC MODELS;

COLLAPSED PROCESS; FOSTER-LYAPUNOV DRIFT CONDITION; STATIONARY DISTRIBUTION; STOCHASTIC RECURSION; UNIFORMLY ERGODIC PROCESS;

RANDOM PROCESSES;

EID: 34548019989     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1239/aap/1183667619     Document Type: Article

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