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

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 inc...

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Veröffentlicht in:Studies in nonlinear dynamics and econometrics 2023-06, Vol.27 (3), p.377-395
Hauptverfasser: Pan, Jiazhu, He, Yali
Format: Artikel
Sprache:eng
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Zusammenfassung: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.
ISSN:1558-3708
1081-1826
1558-3708
DOI:10.1515/snde-2020-0071