On geometric ergodicity of the commodity pricing model
β Scribed by Kazuo Nishimura; John Stachurski
- Book ID
- 114826618
- Publisher
- John Wiley and Sons
- Year
- 2009
- Tongue
- English
- Weight
- 134 KB
- Volume
- 5
- Category
- Article
- ISSN
- 1742-7355
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
We consider the momentum threshold autoregressive (MTAR) process and characterize the region of the autoregressive coe cients for geometric ergodicity. The region is a proper subset of the ergodic region of the TAR process. We show that the process is geometrically ergodic inside the region and is t
For the pth-order linear ARCH model, St = gt~/O{O q-~lXt2\_l q-0~2 X.2\_2 +-.-q-o~pXtLp, where c~0 > 0, c~i~>0, i = 1, 2, ..., p, {et} is an i.i.d, normal white noise with E~, = 0, Ee~ = 1, and et is independent of {X~, s < t}, Engle (1982) obtained the necessary and sufficient condition for the sec