Theory & Methods: On a Class of Nonlinear AR(P) Models with Nonlinear ARCH Errors
From MaRDI portal
Publication:4540808
DOI10.1111/1467-842X.00192zbMath0992.62082MaRDI QIDQ4540808
Publication date: 28 July 2002
Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J02: General nonlinear regression
Related Items
A note on the geometric ergodicity of a nonlinear AR-ARCH model, Stability of nonlinear AR-GARCH models, Local Estimation in AR Models with Nonparametric ARCH Errors