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Document type:
Zeitschriftenaufsatz 
Author(s):
Boussama, F., Fuchs, F., Stelzer, R. 
Title:
Stationarity and geometric ergodicity of BEKK multivariate GARCH models 
Abstract:
Conditions for the existence of strictly stationary multivariate GARCH processes in the so-called BEKK parametrisation, which is the most general form of multivariate GARCH processes typically used in applications, and for their geometric ergodicity are obtained. The conditions are that the driving noise is absolutely continuous with respect to the Lebesgue measure and zero is in the interior of its support and that a certain matrix built from the GARCH coefficients has spectral radius...    »
 
Keywords:
b-mixing, Foster-Lyapunov drift condition, geometric ergodicity, Harris recurrence, multivariate GARCH, stationarity, stochastic volatility 
Journal title:
Stochastic Processes and their Applications 
Year:
2011 
Journal volume:
121 
Journal issue:
10 
Pages contribution:
2331-2360 
Reviewed:
ja 
Language:
en 
Semester:
SS 11 
Format:
Text