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

O. Lee; D. W. Shin

doi:10.1016/j.econlet.2007.12.002

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

O. Lee, D. W. Shin

Department of Statistics

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

Abstract

Multivariate conditional autoregressive range process is considered and conditions for existence of the first moment, stationarity, geometric ergodicity and β-mixing property with exponential decay are obtained.

Original language	English
Pages (from-to)	111-114
Number of pages	4
Journal	Economics Letters
Volume	100
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2007.12.002
State	Published - Jul 2008

Bibliographical note

Funding Information:
This research was supported by grant R01-2006-000-10563-0.

Keywords

β-mixing
Geometric ergodicity
Multivariate conditional autoregressive range model
Stationarity

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10.1016/j.econlet.2007.12.002

Cite this

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title = "Geometric ergodicity and β-mixing property for a multivariate CARR model",

abstract = "Multivariate conditional autoregressive range process is considered and conditions for existence of the first moment, stationarity, geometric ergodicity and β-mixing property with exponential decay are obtained.",

keywords = "β-mixing, Geometric ergodicity, Multivariate conditional autoregressive range model, Stationarity",

author = "O. Lee and Shin, {D. W.}",

note = "Funding Information: This research was supported by grant R01-2006-000-10563-0. ",

year = "2008",

month = jul,

doi = "10.1016/j.econlet.2007.12.002",

language = "English",

volume = "100",

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journal = "Economics Letters",

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AU - Lee, O.

AU - Shin, D. W.

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Y1 - 2008/7

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AB - Multivariate conditional autoregressive range process is considered and conditions for existence of the first moment, stationarity, geometric ergodicity and β-mixing property with exponential decay are obtained.

KW - β-mixing

KW - Geometric ergodicity

KW - Multivariate conditional autoregressive range model

KW - Stationarity

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U2 - 10.1016/j.econlet.2007.12.002

DO - 10.1016/j.econlet.2007.12.002

M3 - Article

AN - SCOPUS:43949135805

SN - 0165-1765

VL - 100

SP - 111

EP - 114

JO - Economics Letters

JF - Economics Letters

IS - 1

ER -

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

Abstract

Bibliographical note

Keywords

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