The Random Parameters AACD Models and Their Geometric Ergodicity

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.