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

O. Lee, D. W. Shin

Research output: Contribution to journalArticlepeer-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 languageEnglish
Pages (from-to)111-114
Number of pages4
JournalEconomics Letters
Volume100
Issue number1
DOIs
StatePublished - Jul 2008

Keywords

  • β-mixing
  • Geometric ergodicity
  • Multivariate conditional autoregressive range model
  • Stationarity

Fingerprint

Dive into the research topics of 'Geometric ergodicity and β-mixing property for a multivariate CARR model'. Together they form a unique fingerprint.

Cite this