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Open Access research with a European policy impact...

The Strathprints institutional repository is a digital archive of University of Strathclyde's Open Access research outputs. Strathprints provides access to thousands of Open Access research papers by Strathclyde researchers, including by researchers from the European Policies Research Centre (EPRC).

EPRC is a leading institute in Europe for comparative research on public policy, with a particular focus on regional development policies. Spanning 30 European countries, EPRC research programmes have a strong emphasis on applied research and knowledge exchange, including the provision of policy advice to EU institutions and national and sub-national government authorities throughout Europe.

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On tail behaviour of nonlinear autoregressive functional conditional heteroscedastic model with heavy-tailed innovations

Pan, J. and Wu, G. (2005) On tail behaviour of nonlinear autoregressive functional conditional heteroscedastic model with heavy-tailed innovations. Science in China Series A: Mathematics, 48 (9). pp. 1169-1181. ISSN 1006-9283

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Abstract

We study the tail probability of the stationary distribution of nonparametric nonlinear autoregressive functional conditional heteroscedastic (NARFCH) model with heavy-tailed innovations. Our result shows that the tail of the stationary marginal distribution of an NARFCH series is heavily dependent on its conditional variance. When the innovations are heavy-tailed, the tail of the stationary marginal distribution of the series will become heavier or thinner than that of its innovations. We give some specific formulas to show how the increment or decrement of tail heaviness depends on the assumption on the conditional variance function. Some examples are given.