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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...

Persistent link: https://www.econbiz.de/10008669983

A Gaussian mixture autoregressive model for univariate time series

Kalliovirta, Leena; Meitz, Mika; Saikkonen, Pentti - 2012

Persistent link: https://www.econbiz.de/10009627445

Stability of nonlinear AR-GARCH models

Meitz, Mika (contributor); Saikkonen, Pentti (contributor) - 2006

Persistent link: https://www.econbiz.de/10003375909

Testing for linear and nonlinear predictability of stock returns

Lanne, Markus; Meitz, Mika; Saikkonen, Pentti - In: Journal of financial econometrics : official journal of … 11 (2013) 4, pp. 682-705

Persistent link: https://www.econbiz.de/10010233866

Nonlinear GARCH models for highly persistent volatility

Lanne, Markku; Saikkonen, Pentti - 2002

Persistent link: https://www.econbiz.de/10001668610

Vector autoregressive processes with nonlinear time trends in cointegrating relations

Ripatti, Antti; Saikkonen, Pentti - In: Macroeconomic dynamics 5 (2001) 4, pp. 577-597

Persistent link: https://www.econbiz.de/10001625171

Cointegrating smooth transition regressions with application to the Asian currency crisis

Saikkonen, Pentti; Choi, In - 2000

Persistent link: https://www.econbiz.de/10001555318

Cointegrating smooth transition regressions

Saikkonen, Pentti; Choi, In - In: Econometric theory 20 (2004) 2, pp. 301-340

Persistent link: https://www.econbiz.de/10001987871

Testing linearity in cointegrating transition regressions

Choi, In; Saikkonen, Pentti - In: The econometrics journal 7 (2004) 2, pp. 341-365

Persistent link: https://www.econbiz.de/10002463466

Asymptotic inference on nonlinear functions of the coefficients of infinite order cointegrated VAR processes

Saikkonen, Pentti; Lütkepohl, Helmut - In: Nonlinear econometric modeling in time series : …, (pp. 165-201). 2000

Persistent link: https://www.econbiz.de/10001532227

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