Geometric ergodicity of asymmetric volatility models with stochastic parameters
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Publication:388985
DOI10.1214/EJP.V18-1871zbMath1291.60145MaRDI QIDQ388985
Neelabh Rohan, T. V. Ramanathan
Publication date: 17 January 2014
Published in: Electronic Journal of Probability (Search for Journal in Brave)
stationarityirreducibilitygeometric ergodicityasymmetric volatility modelsstochastic parameter GARCH model
Stationary stochastic processes (60G10) Discrete-time Markov processes on general state spaces (60J05)
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