Arbeitspapier
A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models
- Language
-
Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 17-072/III
- Classification
-
Wirtschaft
Econometric Modeling: General
Model Construction and Estimation
Financial Econometrics
- Subject
-
Ergodicity
GARCH-type models
mixing
nonlinear time series
stationarity
stochastic recurrence equations
threshold models
- Event
-
Geistige Schöpfung
- (who)
-
Blasques, Francisco
Nientker, Marc
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
2017
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Blasques, Francisco
- Nientker, Marc
- Tinbergen Institute
Time of origin
- 2017
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