Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models
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Cited in
(12)- Parameter estimation in nonlinear AR-GARCH models
- Regular variation of order 1 nonlinear AR-ARCH models
- ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
- Estimation and asymptotic inference in the AR-ARCH model
- A local unit root test in mean for financial time series
- Robustness of iterated function systems of Lipschitz maps
- Stability and the Lyapounov exponent of threshold AR-ARCH models
- Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity
- A Bayesian Quantile Time Series Model for Asset Returns
- Autoregressive functions estimation in nonlinear bifurcating autoregressive models
- An alternative GARCH-in-mean model: structure and estimation
- Stability of nonlinear AR-GARCH models
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