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...

詳細記述

書誌詳細
主要な著者: Meitz, M, Saikkonen, P
フォーマット: Working paper
言語:English
出版事項: Department of Economics (University of Oxford) 2007