Communications of the
Korean Mathematical Society
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ISSN(Print) 1225-1763
ISSN(Online) 2234-3024
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Commun. Korean Math. Soc. 2002; 17(2): 309-319
Printed June 1, 2002
Copyright © The Korean Mathematical Society.
On stationarity of nonlinear AR processes with nonlinear ARCH errors
Oesook Lee, Minhee Kim
Ewha Womans University, Ewha Womans University
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.
Keywords: stationarity, nonlinear AR, nonlinear ARCH, double threshold ARCH
MSC numbers: 62M10, 60J10
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