A note on geometric ergodicity of autoregressive conditional heteroscedasticity (ARCH) model
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References listed on IDEAS
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- Li, Degui & Lu, Zudi & Linton, Oliver, 2012.
"Local Linear Fitting Under Near Epoch Dependence: Uniform Consistency With Convergence Rates,"
Cambridge University Press, vol. 28(05), pages 935-958, October.
- Degui Li & Zudi Lu & Oliver Linton, 2011. "Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates," Monash Econometrics and Business Statistics Working Papers 16/11, Monash University, Department of Econometrics and Business Statistics.
- Cline, Daren B. H. & Pu, Huay-min H., 1999. "Stability of nonlinear AR(1) time series with delay," Stochastic Processes and their Applications, Elsevier, vol. 82(2), pages 307-333, August.
- Lu, Zudi & Linton, Oliver, 2007. "Local Linear Fitting Under Near Epoch Dependence," Econometric Theory, Cambridge University Press, vol. 23(01), pages 37-70, February.
- Theis Lange, 2009. "First and second order non-linear cointegration models," CREATES Research Papers 2009-04, Department of Economics and Business Economics, Aarhus University.
- Lu, Zudi & Jiang, Zhenyu, 2001. "L1 geometric ergodicity of a multivariate nonlinear AR model with an ARCH term," Statistics & Probability Letters, Elsevier, vol. 51(2), pages 121-130, January.
- Li, Degui & Lu, Zudi & Linton, Oliver, 2010.
"Loch linear fitting under near epoch dependence: uniform consistency with convergence rate,"
LSE Research Online Documents on Economics
58160, London School of Economics and Political Science, LSE Library.
- Degui Li & Oliver Linton & Zudi Lu, 2010. "Loch Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate," STICERD - Econometrics Paper Series 549, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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KeywordsGeometric ergodicity Conditional heteroscedasticity ARCH model Nonlinear time series Markov process;
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