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C. Gouriéroux and C. Y. Robert, “Stochastic Unit Root Models,” Econometric Theory, Vol. 22, No. 6, 2006, pp. 1052-1090. doi: 10.1017/S0266466606060518

has been cited by the following article:

• TITLE: Tail Behavior of Threshold Models with Innovations in the Domain of Attraction of the Double Exponential Distribution

  AUTHORS: Aliou Diop, Saliou Diouf

  KEYWORDS: Tail Behavior, Domain of Attraction, Convolution Tails, Stochastic Recurrence Equation, Threshold Autoregressive Model

  JOURNAL NAME: Applied Mathematics, Vol.2 No.5, May 6, 2011

  ABSTRACT: We consider a two-regime threshold autoregressive model where the driving noises are sequences of independent and identically distributed random variables with common distribution function which belongs to the domain of attraction of double exponential distribution. If in addition, for each and where denotes the convolution of the distribution function and we determine the tail behavior of the process and give the exact values of the coefficient.