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Markov Models
nonlinear autoregression
8
Nonlinear Autoregression
5
deterministic shift
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nonlinear trend
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nonstationarity
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Nonlinear Time Series Models
3
structural change
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Confidence intervals
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Consistency
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Existence of Moments
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Final Prediction Error
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Foreign Exchange Rates
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Generalized Autoregressive Conditional Heteroskedasticity
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Lag Selection
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Mixing
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general impulse response function
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heteroskedasticity
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local polynomial
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multi-stage predictor
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smooth transition
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Asymptotic Normality
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Autoregressive Conditional Heteroskedasticity
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Gibbs sampler
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Interest rate
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Markov chain
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Metropolis algorithm
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Modellierung
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Monte Carlo Markov chain
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Nichtlineare Regression
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Nonlinear autoregression Autoregression
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Nonlinear regression
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English
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Meitz, Mika
2
Saikkonen, Pentti
2
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Department of Economics, Oxford University
1
İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi
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Economics Series Working Papers / Department of Economics, Oxford University
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Koç University-TUSIAD Economic Research Forum Working Papers
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A note on the geometric ergodicity of a nonlinear AR–ARCH model
Meitz, Mika
;
Saikkonen, Pentti
-
İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi
-
2010
. A
nonlinear
autoregression
of order p (AR(p)) with the conditional variance specified as the conventional linear …
Persistent link: https://www.econbiz.de/10008543442
Saved in:
2
Stability of nonlinear AR-GARCH models
Meitz, Mika
;
Saikkonen, Pentti
-
Department of Economics, Oxford University
-
2007
consider a
nonlinear
autoregression
of order p (AR(p)) with the conditional variance specified as a nonlinear first order …
Persistent link: https://www.econbiz.de/10004977882
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