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Mixing properties of ARCH and time-varying ARCH processes
2-mixing absolutely regular (β-mixing) ARCH(∞) conditional densities strong mixing (α-mixing) time-varying ARCH
2011/3/21
There exist very few results on mixing for non-stationary processes. However, mixing is often required in statistical inference for non-stationary processes such as time-varying ARCH (tvARCH) models. ...