Robust inference in conditionally heteroskedastic autoregressions
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References listed on IDEAS
- Mika Meitz & Pentti Saikkonen, 2008.
"Stability of nonlinear AR-GARCH models,"
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Wiley Blackwell, vol. 29(3), pages 453-475, May.
- MEITZ, Mika & SAIKKONEN, Pentti, 2006. "Stability of nonlinear AR-GARCH models," CORE Discussion Papers 2006078, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Mika Meitz & Pentti Saikkonen, 2007. "Stability of nonlinear AR-GARCH models," Economics Series Working Papers 328, University of Oxford, Department of Economics.
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More about this item
Keywordst-test; AR-GARCH; regular variation; least squares estimation;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2017-10-22 (All new papers)
- NEP-CTA-2017-10-22 (Contract Theory & Applications)
- NEP-ECM-2017-10-22 (Econometrics)
- NEP-ETS-2017-10-22 (Econometric Time Series)
- NEP-ORE-2017-10-22 (Operations Research)
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