On geometric ergodicity of CHARME models

Jean‐Pierre Stockis, Jürgen Franke and Joseph Tadjuidje Kamgaing

Journal of Time Series Analysis, 2010, vol. 31, issue 3, 141-152

Abstract: In this article we consider a CHARME model, a class of generalized mixture of nonlinear nonparametric AR‐ARCH time series. To provide sets of conditions under which such processes are geometrically ergodic and, therefore, satisfy some mixing conditions, we apply the theory of Markov chains to derive asymptotic stability of this model. These results form the basis for deriving an asymptotic theory for nonparametric estimation. As an illustration, neural network sieve estimates for the autoregressive and volatility functions are considered, and consistency of the parameter estimates is obtained.

Date: 2010
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https://doi.org/10.1111/j.1467-9892.2010.00651.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:31:y:2010:i:3:p:141-152

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