Stationarity and geometric ergodicity of BEKK multivariate GARCH models

DOI10.1016/j.spa.2011.06.001zbMath1250.62043arXiv1106.0165OpenAlexW2079930038MaRDI QIDQ719379

Farid Boussama, Florian Fuchs, Robert Stelzer

Publication date: 10 October 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.0165

zbMATH Keywords

\(\beta\)-mixingstochastic volatilityHarris recurrenceFoster-Lyapunov drift condition

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Discrete-time Markov processes on general state spaces (60J05) Probability theory on algebraic and topological structures (60B99)

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