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Geometric ergodicity of nonlinear autoregressive models with changing conditional variances
2 references·0 citing·7 second hop
Geometric ergodicity of nonlinear autoregressive models with changing conditional variances (2000)Geometric ergodicity of nonlinear autoreg…On a threshold autoregression with conditional heteroscedastic variances (1997)On a threshold autoregression…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Contemporaneous asymmetry in GARCH processes (2001)An Introduction to Regime Switching Time Series Models (2009)MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL (2009)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1997On a threshold autoregression with conditional heteroscedastic variances64 cited

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