Journal of the Korean Mathematical Society (대한수학회지)

Korean Mathematical Society (대한수학회)
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ON GEOMETRIC ERGODICITY OF AN AR-ARCH TYPE PROCESS WITH MARKOV SWITCHING

  • Published : 2004.03.01
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Abstract

We consider a nonlinear AR-ARCH type process subject to Markov-switching and give sufficient conditions for geometric ergodicity of the process. Existence of moments is also obtained.

Keywords

References

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