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STATIONARITY AND β-MIXING PROPERTY OF A MIXTURE AR-ARCH MODELS
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 Title & Authors
STATIONARITY AND β-MIXING PROPERTY OF A MIXTURE AR-ARCH MODELS
Lee, Oe-Sook;
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 Abstract
We consider a MAR model with ARCH type conditional heteroscedasticity. MAR-ARCH model can be derived as a smoothed version of the double threshold AR-ARCH model by adding a random error to the threshold parameters. Easy to check sufficient conditions for strict stationarity, property and existence of moments of the model are given via Markovian representation technique.
 Keywords
mixture AR-ARCH model;Markov chain;stationarity;geometric ergodicity;;
 Language
English
 Cited by
1.
Mixtures of autoregressive-autoregressive conditionally heteroscedastic models: semi-parametric approach, Journal of Applied Statistics, 2014, 41, 2, 275  crossref(new windwow)
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