Australian & New Zealand Journal of Statistics

Theory & Methods: On a Class of Nonlinear AR( P ) Models with Nonlinear ARCH Errors

Journal Article

This paper studies general sufficient conditions for the geometric ergodicity and the existence of moments for a class of nonlinear autoregressive models with nonlinear ARCH errors. Applications of these conditions to various well‐known nonlinear time series models yield specific sufficient conditions, many of which are new or generalizations of existing conditions.

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