Stability of nonlinear AR‐GARCH models

By Mika Meitz, Pentti Saikkonen. 2008

88 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/ec005ef782db1a014065cfb27826e2809b523d8f

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Jonathan B. Hill

In Finance

1. Jonathan B. Hill

In Statistics and Probability

1. Jonathan B. Hill

Citations in the corpus

• GARCH Models (2010, unknown): “Recently, Meitz and Saikkonen (2008a, 2008b) showed mixing properties under mild moment assumptions for a general class of first-order Markov models, and applied their results to the GARCH(1, 1).”
• ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA (2010, background): “This covers finite dependent processes and geometrically ergodic processes like nonlinear AR-nonlinear GARCH with innovations that have a sufficiently smooth density (An and Huang, 1996; Carrasco and Chen, 2002; Leibscher, 2005; Meitz and Saikkonen, 2008).”