Geometric ergodicity of the multivariate COGARCH(1,1) process

DOI10.1080/17442508.2020.1844704zbMath1500.60045arXiv1701.07859OpenAlexW3108922537MaRDI QIDQ5086715

Robert Stelzer, Johanna Vestweber

Publication date: 7 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.07859

zbMATH Keywords

Lévy processirreducibilityFeller processHarris recurrenceFoster-Lyapunov drift conditionMUCOGARCHmultivariate stochastic volatility model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Continuous-time Markov processes on general state spaces (60J25)

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