Theory & Methods: On a Class of Nonlinear AR(P) Models with Nonlinear ARCH Errors

DOI10.1111/1467-842X.00192MaRDI QIDQ4540808zbMATH OpenOpenAlexFDO

Authors Gemai Chen, Min Chen

Publication date 28 July 2002

Published in Australian <html_ent glyph="@amp;" ascii="&amp;"/> New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-842x.00192

zbMATH Keywords

strongly mixing property

Mathematics Subject Classification ID

General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• ARMA MODELS WITH ARCH ERRORS
• On the Stationarity of First-order Nonlinear Time Series Models: Some Developments
• Stability of nonlinear AR-GARCH models
• Local Estimation in AR Models with Nonparametric ARCH Errors
• A Class of Nonlinear Arch Models
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• Geometric ergodicity of nonlinear autoregressive models with changing conditional variances
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• Stationarity and geometric ergodicity of a class of nonlinear ARCH models

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