Klüppelberg, Claudia; Maller, Ross A.; Vyver, Mark van de - In: Econometrics Journal 5 (2002) 2, pp. 387-416
The autoregressive--ARCH (AR--ARCH) and autoregressive--GARCH (AR--GARCH) models, which allow for conditional heteroskedasticity and autoregression, reduce to random walk or white noise for some values of the parameters. We consider generalized versions of the AR--ARCH(1) and AR--GARCH(1,1)...
