Geometric ergodicity of the multivariate COGARCH(1,1) process (Q5086715)
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scientific article; zbMATH DE number 7554009
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| English | Geometric ergodicity of the multivariate COGARCH(1,1) process |
scientific article; zbMATH DE number 7554009 |
Statements
Geometric ergodicity of the multivariate COGARCH(1,1) process (English)
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7 July 2022
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Feller process
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Foster-Lyapunov drift condition
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Harris recurrence
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irreducibility
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Lévy process
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MUCOGARCH
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multivariate stochastic volatility model
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0.7957760691642761
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0.7938655614852905
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0.7897976040840149
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0.781549334526062
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0.7811250686645508
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