A. Nzé and P. , Critères d'ergodicité de quelques modèlesmodèlesà représentation markovienne, C. R. Acad. Sci. Paris Sér. I Math, issue.12, pp.315-1301, 1992.

A. Nzé, P. Doukhan, and P. , WEAK DEPENDENCE: MODELS AND APPLICATIONS TO ECONOMETRICS, Econometric Theory, vol.24, issue.06, pp.995-1045, 2004.
DOI : 10.2307/2046566

H. Berbee, Random walks with Stationary Increments and Renewal Theory, Mathematical Centre Tracts, vol.112, 1979.

L. Birgé and P. Massart, Minimum Contrast Estimators on Sieves: Exponential Bounds and Rates of Convergence, Bernoulli, vol.4, issue.3, pp.329-375, 1998.
DOI : 10.2307/3318720

T. Bollerslev, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, vol.31, issue.3, pp.307-327, 1986.
DOI : 10.1016/0304-4076(86)90063-1
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.161.7380

P. Bougerol and N. Picard, Stationarity of Garch processes and of some nonnegative time series, Journal of Econometrics, vol.52, issue.1-2, pp.115-127, 1992.
DOI : 10.1016/0304-4076(92)90067-2

P. Bougerol and N. Picard, Strict Stationarity of Generalized Autoregressive Processes, The Annals of Probability, vol.20, issue.4, pp.1714-1730, 1992.
DOI : 10.1214/aop/1176989526

C. Butucea, Deconvolution of supersmooth densities with smooth noise, Canadian Journal of Statistics, vol.330, issue.2, pp.181-192, 2004.
DOI : 10.2307/3315941
URL : https://hal.archives-ouvertes.fr/hal-00103058

C. Butucea and A. B. Tsybakov, Sharp optimality for density deconvolution with dominating bias, Theor. Probab. Appl, 2005.
URL : https://hal.archives-ouvertes.fr/hal-00204700

M. Carrasco and X. Chen, ??-mixing and moment properties of RCA models with application to GARCH(p,q), Comptes Rendus de l'Acad??mie des Sciences - Series I - Mathematics, vol.331, issue.1, pp.85-90, 2000.
DOI : 10.1016/S0764-4442(00)00504-8

M. Carrasco and X. Chen, MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS, Econometric Theory, vol.18, issue.1, pp.17-39, 2002.
DOI : 10.1017/S0266466602181023

F. Comte and V. Genon-catalot, Penalized Projection Estimator for Volatility Density, Scandinavian Journal of Statistics, vol.21, issue.4, 2005.
DOI : 10.1007/s004400050094
URL : https://hal.archives-ouvertes.fr/hal-00138770

F. Comte, Y. Rozenholc, and M. Taupin, Finite sample penalization in adaptive density deconvolution, Journal of Statistical Computation and Simulation, vol.1, issue.11, 2005.
DOI : 10.2307/3316026
URL : https://hal.archives-ouvertes.fr/hal-00016503

F. Comte, Y. Rozenholc, and M. L. Taupin, Penalized contrast estimator for adaptive density deconvolution, Canadian Journal of Statistics, vol.18, issue.3, 2006.
DOI : 10.1002/cjs.5550340305
URL : https://hal.archives-ouvertes.fr/hal-00016489

J. Dedecker and C. Prieur, New dependence coefficients. Examples and applications to statistics, Probability Theory and Related Fields, vol.95, issue.2, pp.203-236, 2005.
DOI : 10.1007/s00440-004-0394-3

L. Devroye, Non-uniform random variate generation, 1986.
DOI : 10.1007/978-1-4613-8643-8
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.333.8896

P. Doukhan, Mixing: Properties and examples, Lecture Notes in Statistics, 1994.

P. Doukhan, G. Teyssì-ere, and P. Winant, A LARCH(???) Vector Valued Process, Lectures Notes in Statistics, vol.187, pp.245-258, 2006.
DOI : 10.1007/0-387-36062-X_11
URL : https://hal.archives-ouvertes.fr/hal-00141714

J. Duan, Augmented GARCH (p,q) process and its diffusion limit, Journal of Econometrics, vol.79, issue.1, pp.97-127, 1997.
DOI : 10.1016/S0304-4076(97)00009-2

R. F. Engle, Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica, vol.50, issue.4, pp.987-1007, 1982.
DOI : 10.2307/1912773

J. Fan, On the Optimal Rates of Convergence for Nonparametric Deconvolution Problems, The Annals of Statistics, vol.19, issue.3, pp.1257-1272, 1991.
DOI : 10.1214/aos/1176348248

L. Giraitis, P. Kokoszka, and R. Leipus, STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM, Econometric Theory, vol.16, issue.01, pp.3-22, 2000.
DOI : 10.1017/S0266466600161018

T. Klein and E. Rio, Concentration around the mean for maxima of empirical processes, The Annals of Probability, vol.33, issue.3, pp.1060-1077, 2005.
DOI : 10.1214/009117905000000044

C. Lacour, Rates of convergence for nonparametric deconvolution, Comptes Rendus Mathematique, vol.342, issue.11, pp.877-882, 2006.
DOI : 10.1016/j.crma.2006.04.006
URL : https://hal.archives-ouvertes.fr/hal-00115610

O. Lee and D. W. Shin, On stationarity and -mixing property of certain nonlinear GARCH models, Statistics & Probability Letters, vol.73, issue.1, pp.25-35, 2005.
DOI : 10.1016/j.spl.2005.02.011

Y. Meyer, Ondelettes et opérateurs I: Ondelettes. Actualités Mathématiques, 1990.

M. Pensky and B. Vidakovic, Adaptive wavelet estimator for nonparametric density deconvolution, Ann. Stat, vol.27, issue.6, pp.2033-2053, 1999.

B. Van-es, P. Spreij, and H. Van-zanten, Nonparametric volatility density estimation, Bernoulli, vol.9, issue.3, pp.451-465, 2003.
DOI : 10.3150/bj/1065444813

B. Van-es, P. Spreij, and H. Van-zanten, Nonparametric volatility density estimation for discrete time models, Journal of Nonparametric Statistics, vol.18, issue.2, pp.237-251, 2005.
DOI : 10.1109/TIT.1983.1056736

V. Volkonskij and Y. Rozanov, Some Limit Theorems for Random Functions. I, Theory of Probability & Its Applications, vol.4, issue.2, pp.178-197, 1960.
DOI : 10.1137/1104015

J. Zakoian, Modèle autoregressifàautoregressifà un seuil, Publ. Inst. Statist. Univ. Paris, vol.37, pp.3-4, 1993.