Ergodicity of Markov chains in an algebraic manifold: application to multivariate GARCH models

DOI10.1016/j.crma.2006.06.027zbMath1098.60068MaRDI QIDQ2506481

Farid Boussama

Publication date: 28 September 2006

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2006.06.027

Mathematics Subject Classification ID

60J05: Discrete-time Markov processes on general state spaces

Related Items

LEAST SQUARES AND IVX LIMIT THEORY IN SYSTEMS OF PREDICTIVE REGRESSIONS WITH GARCH INNOVATIONS, MINIMUM HELLINGER DISTANCE ESTIMATION OF MULTIVARIATE GARCH PROCESSES, High-dimensional penalized arch processes, High‐dimensional sparse multivariate stochastic volatility models, A closed-form estimator for the multivariate GARCH(1,1) model, Stationarity and geometric ergodicity of BEKK multivariate GARCH models, Feasible generalized least squares estimation of multivariate GARCH(1,1) models, Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages, ON THE RELATION BETWEEN THE VEC AND BEKK MULTIVARIATE GARCH MODELS

Cites Work

• Markov chains and stochastic stability
• Propriétés de mélange des processus autorégressifs polynomiaux. (Mixing properties of polynomial autoregressive processes)
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Unnamed Item