Parameter Estimation In Nonlinear Ar Garch Models
Work
Year: 2011
Type: article
Abstract: This paper develops an asymptotic estimation theory for nonlinear autoregressive models with conditionally heteroskedastic errors. We consider a general nonlinear autoregression of order p (AR( p )) w... more
Source: Econometric Theory
Authors Mika Meitz, Pentti Saikkonen
Institutions Koç University, University of Helsinki
Cites: 57
Cited by: 55
Related to: 10
FWCI: 7.037
Citation percentile (by year/subfield): 91.92
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Reduced inequalities
Open Access status: green