Geometric ergodicity and -mixing property for a multivariate CARR model

DOI10.1016/J.ECONLET.2007.12.002zbMATH Open1255.62265OpenAlexW2035199298MaRDI QIDQ1934845FDOQ1934845

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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• A STUDY ON GARCH(p, q) PROCESS

Cited In (1)

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

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