Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models
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Publication:3590747
DOI10.1239/aap/1183667619zbMath1143.62051OpenAlexW1967843139MaRDI QIDQ3590747
Publication date: 3 September 2007
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aap/1183667619
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Discrete-time Markov processes on general state spaces (60J05)
Related Items (8)
Autoregressive functions estimation in nonlinear bifurcating autoregressive models ⋮ Robustness of iterated function systems of Lipschitz maps ⋮ Stability of nonlinear AR-GARCH 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 ⋮ An Alternative GARCH-in-Mean Model: Structure and Estimation ⋮ PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS
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