On the sample variance of explosive random coefficient autoregressive processes

DOI10.1016/J.AML.2011.05.046MaRDI QIDQ654252zbMATH OpenOpenAlexFDO

Authors Terence T. L. Chong, Wai-Kit Leung

Publication date 28 December 2011

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.aml.2011.05.046

zbMATH Keywords

GARCHARCHsecond-order stationary

Mathematics Subject Classification ID

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

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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Estimating the differencing parameter via the partial autocorrelation function
• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
• Modelling the persistence of conditional variances
• RCA models with correlated errors
• Structural change in AR(1) models
• TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS

Cited in

(3)

• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
• Sample path properties of an explosive double autoregressive model
• Explosive \(\mathrm{AR}(1)\) process with independent but not identically distributed errors

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