Geometric ergodicity of asymmetric volatility models with stochastic parameters

DOI10.1214/EJP.V18-1871MaRDI QIDQ388985zbMATH OpenFDO

Authors Neelabh Rohan, T. V. Ramanathan

Publication date 17 January 2014

Published in Electronic Journal of Probability (Search for Journal in Brave)

zbMATH Keywords

stationarityirreducibilitygeometric ergodicityasymmetric volatility modelsstochastic parameter GARCH model

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Discrete-time Markov processes on general state spaces (60J05)

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(3)

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• Asymptotics for a bidimensional risk model with two geometric Lévy price processes

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