Geometric ergodicity of the multivariate COGARCH(1,1) process
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Publication:5086715
DOI10.1080/17442508.2020.1844704zbMath1500.60045arXiv1701.07859OpenAlexW3108922537MaRDI QIDQ5086715
Robert Stelzer, Johanna Vestweber
Publication date: 7 July 2022
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1701.07859
Lévy processirreducibilityFeller processHarris recurrenceFoster-Lyapunov drift conditionMUCOGARCHmultivariate stochastic volatility model
Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Continuous-time Markov processes on general state spaces (60J25)
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