Meitz, Mika; Saikkonen, Pentti - In: Statistics & Probability Letters 80 (2010) 7-8, pp. 631-638
This note studies the geometric ergodicity of nonlinear autoregressive models with conditionally heteroskedastic errors. A nonlinear autoregression of order p (AR(p)) with the conditional variance specified as the conventional linear autoregressive conditional heteroskedasticity model of...