Geometric ergodicity and [beta]-mixing property for a multivariate CARR model

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.

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Year of publication:	2008
Authors:	Lee, O. ; Shin, D.W.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 100.2008, 1, p. 111-114
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005288008