Stability of nonlinear AR-GARCH models

Stability of nonlinear AR-GARCH models

अन्य संस्करण दिखाएं (1)

This paper studies the stability of nonlinear autoregressive models with conditionality heteroskedastic errors. We consider a nonlinear autoregression of order p (AR(p)) with the conditional variance specified as a nonlinear first order generalized autoregressive conditional heteroskedasticity (GARC...

पूर्ण विवरण

ग्रंथसूची विवरण
मुख्य लेखकों:	Meitz, M, Saikkonen, P
स्वरूप:	Working paper
प्रकाशित:	University of Oxford 2007

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