On stationarity of nonlinear AR processes with nonlinear ARCH errors
Commun. Korean Math. Soc. 2002 Vol. 17, No. 2, 309-319 Printed June 1, 2002
Oesook Lee, Minhee Kim Ewha Womans University, Ewha Womans University
Abstract : We consider the nonlinear autoregressive model with nonlinear ARCH errors, and find sufficient conditions for the existence of a strictly stationary process. New results are obtained, and known results are shown to emerge as special cases.
