This paper develops an asymptotic estimation theory for nonlinear autoregressive models with conditionally heteroskedastic errors. We consider a functional coefficient autoregression of order p (AR(p)) with the conditional variance specified as a general nonlinear first order generalized...

This paper develops an asymptotic estimation theory for nonlinear autoregressive models with conditionally heteroskedastic errors.  We consider a functional coefficient autoregression of order p (AR(p)) with the conditional variance specified as a general nonlinear first order generalized...

In this paper we analyze the limiting properties of the estimated parameters in a general class of asymmetric volatility models which are closely related to the traditional exponential GARCH model. The new representation has three main advantages over the traditional EGARCH: (1) It allows a much...

We propose the Gaussian quasi-maximum likelihood estimator (QMLE) to detect and locate multiple volatility shifts. Our Gaussian QMLE is shown to be consistent under suitable conditions and the rate of convergence is provided. It is also shown that the binary segmentation procedure provides a...

This paper considers the statistical inference of the class of asymmetric power-transformed GARCH(1,1) models in presence of possible explosiveness. We study the explosive behavior of volatility when the strict stationarity condition is not met. This allows us to establish the asymptotic...

This paper investigates a class of multiple-threshold models, called Multiple Threshold Double AR (MTDAR) models. A sufficient condition is obtained for the existence and uniqueness of a strictly stationary and ergodic solution to the first-order MTDAR model. We study the Quasi-Maximum...

Yu et al. (2008) establish asymptotic properties of quasi-maximum likelihood estimators for a stable spatial dynamic panel model with fixed effects when both the number of individuals n and the number of time periods T are large. This paper investigates unstable cases where there are unit roots...