Geometric ergodicity and -mixing property for a multivariate CARR model

DOI10.1016/J.ECONLET.2007.12.002MaRDI QIDQ1934845zbMATH OpenOpenAlexFDO

Authors Oesook Lee, Dong Wan Shin

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

zbMATH Keywords

stationaritymultivariate conditional autoregressive range model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

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• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Markov chains and stochastic stability
• Modeling and Forecasting Realized Volatility
• On strict stationarity and ergodicity of a non-linear ARMA model
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model

Cited in

(1)

• A sequential empirical CLT for multiple mixing processes with application to \(\mathcal{B}\)-geometrically ergodic Markov chains

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