Stationarity and geometric ergodicity of BEKK multivariate GARCH models

DOI10.1016/j.spa.2011.06.001zbMath1250.62043arXiv1106.0165OpenAlexW2079930038MaRDI QIDQ719379

Farid Boussama, Florian Fuchs, Robert Stelzer

Publication date: 10 October 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.0165

zbMATH Keywords

\(\beta\)-mixingstochastic volatilityHarris recurrenceFoster-Lyapunov drift condition

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Discrete-time Markov processes on general state spaces (60J05) Probability theory on algebraic and topological structures (60B99)

Related Items (29)

A stochastic recurrence equations approach for score driven correlation models ⋮ Functional delta-method for the bootstrap of quasi-Hadamard differentiable functionals ⋮ LEAST SQUARES AND IVX LIMIT THEORY IN SYSTEMS OF PREDICTIVE REGRESSIONS WITH GARCH INNOVATIONS ⋮ An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns ⋮ Multivariate hyper-rotated GARCH-BEKK ⋮ CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH ⋮ Time series models for realized covariance matrices based on the matrix-F distribution ⋮ Geometric ergodicity of the multivariate COGARCH(1,1) process ⋮ Geometric ergodicity of affine processes on cones ⋮ ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS ⋮ Asymmetric volatility impulse response functions ⋮ Testing the martingale difference hypothesis in high dimension ⋮ Optimal covariance matrix estimation for high-dimensional noise in high-frequency data ⋮ Central limit theorems for high dimensional dependent data ⋮ Realized BEKK-CAW models ⋮ Tests for conditional ellipticity in multivariate GARCH models ⋮ Diversification benefits in the cryptocurrency market under mild explosivity ⋮ A scalar dynamic conditional correlation model: structure and estimation ⋮ Statistical Inference for Expectile‐based Risk Measures ⋮ On the tail behavior of a class of multivariate conditionally heteroskedastic processes ⋮ MINIMUM HELLINGER DISTANCE ESTIMATION OF MULTIVARIATE GARCH PROCESSES ⋮ TARGETING ESTIMATION OF CCC-GARCH MODELS WITH INFINITE FOURTH MOMENTS ⋮ Tail risk inference via expectiles in heavy-tailed time series ⋮ Model identification using the efficient determination criterion ⋮ A justification of conditional confidence intervals ⋮ ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS ⋮ Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models ⋮ High-dimensional penalized arch processes ⋮ Identification of structural multivariate GARCH models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Markov chains and stochastic stability
• Propriétés de mélange des processus autorégressifs polynomiaux. (Mixing properties of polynomial autoregressive processes)
• Weakly dependent chains with infinite memory
• On the Markov chain central limit theorem
• Stationary strongly mixing sequences not satisfying the central limit theorem
• Stationarity of GARCH processes and of some nonnegative time series
• A new mixing notion and functional central limit theorems for a sieve bootstrap in time series
• The functional central limit theorem for strongly mixing processes
• Mixing: Properties and examples
• Regular variation of GARCH processes.
• On the central limit theorem for geometrically ergodic Markov chains
• Generalized autoregressive conditional heteroscedasticity
• Asymptotic theory for multivariate GARCH processes.
• Ergodicity of Markov chains in an algebraic manifold: application to multivariate GARCH models
• Non-strong mixing autoregressive processes
• ON THE RELATION BETWEEN THE VEC AND BEKK MULTIVARIATE GARCH MODELS
• Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
• Multivariate GARCH Models
• Matrix Analysis
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Stability of Markovian processes I: criteria for discrete-time Chains
• Mixing Conditions for Markov Chains
• Matrix Quadratic Solutions
• Partially Ordered Topological Spaces

This page was built for publication: Stationarity and geometric ergodicity of BEKK multivariate GARCH models