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A note on geometric ergodicity of autoregressive conditional heteroscedasticity (ARCH) model

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
1986Modelling the persistence of conditional variances2,068 cited
1993ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING786 cited
1985Conditional variance and the risk premium in the foreign exchange market485 cited
1983Estimates of the Variance of U. S. Inflation Based upon the ARCH Model462 cited
1984ARMA MODELS WITH ARCH ERRORS282 cited
1986ARCH and Bilinear Time Series Models: Comparison and Combination98 cited
1992A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS47 cited

Cited by

2011Estimation and Asymptotic Inference in the AR-ARCH Model22 cited

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