Stability of nonlinear AR-GARCH models
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...
| Автори: | , |
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| Формат: | Working paper |
| Опубліковано: |
University of Oxford
2007
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