Stability conditions for a bivariate arch system which is cointegrated in mean

DOI10.1080/03610929308831194zbMath0800.62529OpenAlexW2137554055MaRDI QIDQ4275853

Robert M. Kunst

Publication date: 31 January 1994

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929308831194

Mathematics Subject Classification ID

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

Cites Work

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• Time series: theory and methods.
• ARMA MODELS WITH ARCH ERRORS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• STATIONARITY AND CENTRAL LIMIT THEOREM ASSOCIATED WITH BILINEAR TIME SERIES MODELS
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Common Persistence in Conditional Variances

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