Parameter estimation in nonlinear AR-GARCH models
This paper develops an asymptotic estimation theory for nonlinear autoregressive models with conditionally heteroskedastic errors. We consider a functional coefficient autoregression of order p (AR(p)) with the conditional variance specified as a general nonlinear first order generalized autoregres...
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| Aineistotyyppi: | Working paper |
| Julkaistu: |
University of Oxford
2008
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