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...
| Asıl Yazarlar: | , |
|---|---|
| Materyal Türü: | Working paper |
| Dil: | English |
| Baskı/Yayın Bilgisi: |
Department of Economics (University of Oxford)
2007
|
Search Result 1
