Stability of nonlinear AR-GARCH models
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Publication:3552833
DOI10.1111/J.1467-9892.2007.00562.XzbMATH Open1199.62014OpenAlexW3125579457MaRDI QIDQ3552833FDOQ3552833
Authors: Mika Meitz, Pentti Saikkonen 
Publication date: 22 April 2010
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://swopec.hhs.se/hastef/papers/hastef0632.pdf
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- scientific article; zbMATH DE number 1239650
stationarityMarkov chainsgeometric ergodicity\(\beta\)-mixingnonlinear autoregressive modelsgeneralized autoregressive conditional heteroskedasticity
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Cited In (33)
- ON STATIONARITY OF NONLINEAR AR PROCESSES WITH NONLINEAR ARCH ERRORS
- Parameter estimation in nonlinear AR-GARCH models
- Regular variation of order 1 nonlinear AR-ARCH models
- Estimation and asymptotic inference in the AR-ARCH model
- Stability results for nonlinear error correction models
- A note on the geometric ergodicity of a nonlinear AR-ARCH model
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- Stochastic stability for the nonlinear autoregressive series
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