Evaluating the Lyapounov exponent and existence of moments for threshold AR-ARCH models

Journal of Time Series Analysis

Volumn 28, Issue 2, 2007, Pages 241-260

  Cline, Daren B H ^a  

^a TEXAS A AND M UNIVERSITY   (United States)

Author keywords

ARCH; GARCH; Lyapounov exponent; Stationary; Threshold models

Indexed keywords

EID: 33847212508     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2006.00508.x     Document Type: Article

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