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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