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On a Class of Nonlinear AR(P) Models with Nonlinear ARCH Errors
Authors:Gemai Chen,&   Min Chen
Affiliation:University of Calgary,;Chinese Academy of Sciences
Abstract: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.
Keywords:geometric ergodicity    moments    strongly mixing property
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