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The Random Parameters AACD Models and Their Geometric Ergodicity
Miao Junhong, Shen Jun
School of Mathematics and Statistics, Hainan Normal University
This paper proposes a new type of random parameters AACD (RPAACD)
models, which extends the AACD model. Depending on the state of the price process, the
RPAACD models seem to be a valuable alternative to existing approaches and have the better
overall performance. We give the transition probability of the process. Moreover by
employing the transition probability, we obtain the probability properties of the RPACD
model.