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L1 geometric ergodicity of a multivariate nonlinear AR model with an ARCH term

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
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Cited by

2006LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE41 cited
2006Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR‐ARCH Models32 cited
2004Kernel estimates of the mean and the volatility functions in a nonlinear autoregressive model with ARCH errors19 cited
2007STABILITY OF MIXTURES OF VECTOR AUTOREGRESSIONS WITH AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY19 cited

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