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...

詳細記述

書誌詳細
主要な著者: Meitz, M, Saikkonen, P
フォーマット: Working paper
出版事項: University of Oxford 2007