Stability of nonlinear AR-GARCH models

Stability of nonlinear AR-GARCH models

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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...

Полное описание

Библиографические подробности
Главные авторы:	Meitz, M, Saikkonen, P
Формат:	Working paper
Опубликовано:	University of Oxford 2007

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