Geometric ergodicity and \(\beta\)-mixing property for a multivariate CARR model
From MaRDI portal
Publication:1934845
DOI10.1016/j.econlet.2007.12.002zbMath1255.62265OpenAlexW2035199298MaRDI QIDQ1934845
Publication date: 29 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2007.12.002
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Markov chains and stochastic stability
- Generalized autoregressive conditional heteroscedasticity
- Drift conditions and invariant measures for Markov chains.
- A multivariate conditional autoregressive range model
- A sufficient condition for the existence of an invariant probability measure for Markov processes
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- On strict stationarity and ergodicity of a non-linear ARMA model
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
- Modeling and Forecasting Realized Volatility
- A STUDY ON GARCH(p, q) PROCESS
This page was built for publication: Geometric ergodicity and \(\beta\)-mixing property for a multivariate CARR model