Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models
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Publication:3505317
DOI10.1111/j.1467-9892.2006.00508.xzbMath1150.62042OpenAlexW2155745054MaRDI QIDQ3505317
Publication date: 18 June 2008
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2006.00508.x
Related Items (6)
A class of stochastic unit-root bilinear processes: mixing properties and unit-root test ⋮ On Guaranteed Sequential Change Point Detection for TAR(1)/ARCH(1) Process ⋮ A note on the geometric ergodicity of a nonlinear AR-ARCH model ⋮ Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models ⋮ An Alternative GARCH-in-Mean Model: Structure and Estimation ⋮ A Gaussian Mixture Autoregressive Model for Univariate Time Series
Uses Software
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