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Stability of nonlinear AR-GARCH models.

Abstract:

This paper studies the stability of nonlinear autoregressive models with conditionally heteroskedastic errors. We consider a nonlinear autoregression of order p (AR(p)) with the conditional variance specified as a nonlinear first order generalized autoregressive conditional heteroskedasticity (GARCH(1,1)) model. Conditions under which the model is stable in the sense that its Markov chain representation is geometrically ergodic are provided. This implies the existence of an initial distributi...

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Publisher:
Department of Economics (University of Oxford)
Series:
Discussion paper series
Publication date:
2007-01-01
Language:
English
UUID:
uuid:ccb530a7-fbd6-4b4e-8f15-7048f8a8b9ff
Local pid:
ora:1367
Deposit date:
2011-08-16

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