A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models
| Year of publication: |
2017
|
|---|---|
| Authors: | Blasques, Francisco ; Nientker, Marc |
| Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
| Subject: | Ergodicity | GARCH-type models | mixing | nonlinear time series | stationarity | stochastic recurrence equations | threshold models |
| Series: | Tinbergen Institute Discussion Paper ; 17-072/III |
|---|---|
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Working Paper |
| Language: | English |
| Other identifiers: | 895245450 [GVK] hdl:10419/177640 [Handle] RePEc:tin:wpaper:20170072 [RePEc] |
| Classification: | C50 - Econometric Modeling. General ; C51 - Model Construction and Estimation ; c58 |
| Source: |
Persistent link: https://www.econbiz.de/10011819465