Geometric ergodicity and β-mixing property for a multivariate CARR model

被引：0

作者：

Lee, O. ^{[1
]}

Shin, D. W. ^{[1
]}

机构：

[1] Ewha Womans Univ, Dept Stat, Seoul 120750, South Korea

来源：

ECONOMICS LETTERS | 2008年 / 100卷 / 01期

关键词：

multivariate conditional autoregressive range model; stationarity; geometric ergodicity; beta-mixing;

D O I：

10.1016/j.econlet.2007.12.002

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Multivariate conditional autoregressive range process is considered and conditions for existence of the first moment, stationarity, geometric ergodicity and beta-mixing property with exponential decay are obtained. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：111 / 114

页数：4

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