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A note on the geometric ergodicity of a nonlinear AR-ARCH model

Meitz, Mika; Saikkonen, Pentti - 2010 - rev.

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...