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ON STATIONARITY OF NONLINEAR AR PROCESSES WITH NONLINEAR ARCH ERRORS
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 Title & Authors
ON STATIONARITY OF NONLINEAR AR PROCESSES WITH NONLINEAR ARCH ERRORS
Lee, Oe-Sook; Kim, Min-Hee;
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 Abstract
We consider the nonlinear autoregressive model with nonlinear ARCH errors, and find sufficient conditions for the existence of a strictly stationary process. New results are obtained, and known results are shown to emerge as special oases.
 Keywords
stationarity;nonlinear AR;nonlinear ARCH;double threshold ARCH;
 Language
English
 Cited by
1.
GEOMETRIC ERGODICITY AND EXISTENCE OF HIGHER-ORDER MOMENTS FOR DTARCH(p,q) PROCESS,;

Journal of the Korean Statistical Society, 2003. vol.32. 2, pp.193-202
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