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)) with the conditional variance specified as a general nonlinear first order generalized...

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 order q...

This paper studies a class of Markov models which consist of two components. Typically, one of the components is observable and the other is unobservable or 'hidden'. Conditions under which (a form of) geometric ergodicity of the unobservable component is inherited by the joint process formed of...

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 order q...

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)) with the conditional variance specified as a general nonlinear first order generalized...

This paper studies the smooth transition regression model where regressors are I(1) and errors are I(0). The regressors and errors are assumed to be dependent both serially and contemporaneously. Using the triangular array asymptotics, the nonlinear least squares estimator is shown to be...

A new kind of mixture autoregressive model with GARCH errors is introduced and applied to the U.S. short-term interest rate. According to the diagnostic tests developed in the paper and further informal checks the model is capable of capturing both of the typical characteristics of the...