Theory & Methods: On a Class of Nonlinear AR(P) Models with Nonlinear ARCH Errors

DOI10.1111/1467-842X.00192zbMath0992.62082OpenAlexW1914388985MaRDI QIDQ4540808

Gemai Chen, Min Chen

Publication date: 28 July 2002

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-842x.00192

zbMATH Keywords

strongly mixing property

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02)

Related Items (3)

Stability of nonlinear AR-GARCH models ⋮ A note on the geometric ergodicity of a nonlinear AR-ARCH model ⋮ Local Estimation in AR Models with Nonparametric ARCH Errors

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