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ON THE GEOMETRIC ERGODICITY OF A NON-LINEAR AUTOREGRESSIVE MODEL WITH AN AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTIC TERM

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
1995Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality275 cited

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2006LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE41 cited
2006Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR‐ARCH Models32 cited
2019Strict stationarity testing and GLAD estimation of double autoregressive models14 cited
2020Consistent nonparametric change point detection combining CUSUM and marked empirical processes11 cited

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