Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes

DOI10.1111/j.1467-9892.2005.00412.xzbMath1092.62091MaRDI QIDQ5467622

Eckhard Liebscher

Publication date: 24 May 2006

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00412.x

zbMATH Keywords

spectral radius; beta-mixing; exponential ARCH model; threshold ARCH model

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J02: General nonlinear regression

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