On the sample variance of explosive random coefficient autoregressive processes

DOI10.1016/j.aml.2011.05.046zbMath1228.62107OpenAlexW2077196242MaRDI QIDQ654252

Terence Tai-Leung Chong, Wai-Kit Leung

Publication date: 28 December 2011

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2011.05.046

zbMATH Keywords

ARCHGARCHsecond-order stationary

Mathematics Subject Classification ID

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

Cites Work

• Estimating the differencing parameter via the partial autocorrelation function
• RCA models with correlated errors
• STRUCTURAL CHANGE IN AR(1) MODELS
• Modelling the persistence of conditional variances
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS
• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation

This page was built for publication: On the sample variance of explosive random coefficient autoregressive processes