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

Pan, Jiazhu and He, Yali (2022) Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations. Studies in Nonlinear Dynamics and Econometrics. pp. 1-19. ISSN 1558-3708 (https://doi.org/10.1515/snde-2020-0071)

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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.

ORCID iDs

Pan, Jiazhu ORCID logoORCID: https://orcid.org/0000-0001-7346-2052 and He, Yali;