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...
| Hlavní autoři: | , |
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| Médium: | Working paper |
| Jazyk: | English |
| Vydáno: |
Department of Economics (University of Oxford)
2007
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