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...
| Príomhchruthaitheoirí: | , |
|---|---|
| Formáid: | Working paper |
| Teanga: | English |
| Foilsithe / Cruthaithe: |
Department of Economics (University of Oxford)
2007
|
Search Result 1
