The geometric ergodicity and existence of moments for a class of non-linear time series model

Hongzhi An, Min Chen and Fuchun Huang

Statistics & Probability Letters, 1997, vol. 31, issue 3, 213-224

Abstract: In this paper we consider the non-linear time series model xt=[var epsilon]t([alpha]0+[alpha]1xt-1r[beta]+...+[alpha]pxt-pr[beta])1/r. When r = 2 it is called the [beta]-ARCH(p) model. We examine the geometric ergodicity and the existence of higher-order moments for this model.

Keywords: Nonlinear; time; series; [beta]-ARCH; model; Markov; chain; Geometric; ergodicity; Higher-order; moments (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (6)

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