On the geometric ergodicity of a non-linear autoregressive model with an autoregressive conditional heteroscedastic term

Statistica Sinica

Volumn 8, Issue 4, 1998, Pages 1205-1217

  Lu, Zudi ^a,b  

^a INSTITUTE OF GEOLOGY AND GEOPHYSICS   (China)

^b INSTITUTE OF SYSTEMS SCIENCE   (China)

Author keywords

ARCH(p); Autoregression; Conditional heteroscedasticity; Geometric ergodicity; Markov chain; Nonlinear AR model with ARCH term

Indexed keywords

EID: 0032275771     PISSN: 10170405     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (18)

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