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Stability of nonlinear AR-GARCH models
Meitz, Mika (contributor); Saikkonen, Pentti (contributor) - 2006
Persistent link: https://www.econbiz.de/10003375909
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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
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A Gaussian mixture autoregressive model for univariate time series
Kalliovirta, Leena; Meitz, Mika; Saikkonen, Pentti - 2012
Persistent link: https://www.econbiz.de/10009627445
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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