ON THE STABILITY OF A HETEROSCEDASTIC PROCESS

DOI10.1111/j.1467-9892.1986.tb00497.xzbMath0608.62107OpenAlexW2121280467MaRDI QIDQ3747562

Andrew A. Weiss

Publication date: 1986

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1986.tb00497.x

zbMATH Keywords

stability conditionsARCHautoregressiveconditional heteroscedasticityARMAXtime series regression modelunconditional expectation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• A note on a heteroscedastic model
• Estimation and testing in time-series regression models with heteroscedastic disturbances
• Heteroscedasticity in Models with Lagged Dependent Variables
• More Efficient Estimation in the Presence of Heteroscedasticity of Unknown Form
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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