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ON STATIONARITY OF NONLINEAR AR PROCESSES WITH NONLINEAR ARCH ERRORS - MaRDI portal

ON STATIONARITY OF NONLINEAR AR PROCESSES WITH NONLINEAR ARCH ERRORS

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Publication:5711404

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DOI10.4134/CKMS.2002.17.2.309zbMath1101.62370OpenAlexW288537460MaRDI QIDQ5711404

Min-Hee Kim, Oesook Lee

Publication date: 12 December 2005

Published in: Communications of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4134/ckms.2002.17.2.309

zbMATH Keywords

stationarity double threshold ARCH nonlinear AR nonlinear ARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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