Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations

Jiazhu Pan, Yali He

Research output: Contribution to journalArticlepeer-review

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Abstract

This paper studies the tail behaviours of the stationary distribution of multiple-regime threshold AR models with multiple heavy-tailed innovations. It is shown that the marginal tail probability has the same order as that of the innovation with the heaviest tail. Other new results in this paper include the geometric ergodicity and the tail dependence of TAR models with multiple heavy-tailed innovations.
Original languageEnglish
Pages (from-to)377-395
Number of pages19
JournalStudies in Nonlinear Dynamics and Econometrics
Volume27
Issue number3
Early online date27 Jun 2022
DOIs
Publication statusPublished - 28 Jun 2023

Keywords

  • heavy-tailed distribution
  • ergodicity
  • threshold AR model
  • tail probability

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