Stability of nonlinear AR-GARCH models.

This paper studies the stability of nonlinear autoregressive models with conditionally 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 (GARCH...

وصف كامل

التفاصيل البيبلوغرافية
المؤلفون الرئيسيون: Meitz, M, Saikkonen, P
التنسيق: Working paper
اللغة:English
منشور في: Department of Economics (University of Oxford) 2007
Search Result 1

Stability of nonlinear AR-GARCH models حسب Meitz, M, Saikkonen, P

منشور في 2007
Working paper