17-072/III - A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models

• Authors
  Francisco (F.) Blasques, VU Amsterdam, The Netherlands; Tinbergen Institute, The Netherlands; Marc Nientker, VU Amsterdam, The Netherlands
• Publication date
  August 2, 2017

• Keywords
  Ergodicity, GARCH-type models, mixing, nonlinear time series, stationarity,stochastic recurrence equations, threshold models
• JEL
  C50, C51, C58