Structure and asymptotic theory for nonlinear models with GARCH errors

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Structure and asymptotic theory for nonlinear models with GARCH errors

Nonlinear time series models, especially those with regime-switching and/or conditionally heteroskedastic errors, have become increasingly popular in the economics and finance literature. However, much of the research has concentrated on the empirical applications of various models, with little theo...

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Bibliographic Details
Main Authors:	Chan, Felix, McAleer, M., Medeiros, M.
Format:	Journal Article
Published:	Elsevier Ltd 2015
Subjects:	Nonlinear time series Regime-switching Smooth transition STAR GARCH Asymptotic theory
Online Access:	http://hdl.handle.net/20.500.11937/76323

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