Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models
Year of publication: |
2008
|
---|---|
Authors: | Meitz, Mika ; Saikkonen, Pentti |
Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 24.2008, 5, p. 1291-1320
|
Subject: | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Theorie | Theory |
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