Stationarity and geometric ergodicity of BEKK multivariate GARCH models (Q719379): Difference between revisions

From the authors' introduction: In Section 2 we give a detailed definition of BEKK GARCH models, their vec and vech parametrisations, state our main results on the stationarity and ergodicity of multivariate GARCH processes and discuss their implications. Thereafter, we define and analyse semi-polynomial Markov chains in Section 3. Finally, we proof our main result for multivariate GARCH processes in Section 4. A brief summary of some notions of algebraic geometry necessary to understand the statements of our main results on GARCH processes is given in the Appendix. There we have also collected some results from the theory of Markov chains which we are going to use in the proof of Theorem 3.12.