Geometric ergodicity of a general ARCH type model

LU ZudiInstitute of Systems Science; Chinese Academy of Sciences; Beijing 100080; China

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Geometric ergodicity of a general ARCH type model

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THE purpose of this letter is to study in a unified way the geometric ergodicity of a lot of autoregressive conditionally heteroscedastic (ARCH) models appearing in some references. The ARCH model was first proposed by Engle and developed and applied widely particularly in the econometric literature. Here are some typical parametric models: linear

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《中国科学通报：英文版》 |1997年第3期|264-264|共1页
作者
LU ZudiInstitute of Systems Science; Chinese Academy of Sciences; Beijing 100080; China;
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原文格式 PDF
正文语种 chi
中图分类系统学、现代系统理论;
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任豆;

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Geometric ergodicity of a general ARCH type model

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