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Titel:

Stationarity and geometric ergodicity of BEKK multivariate GARCH models

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Boussama, F., Fuchs, F., Stelzer, R.
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 smal...     »
Stichworte:
b-mixing, Foster-Lyapunov drift condition, geometric ergodicity, Harris recurrence, multivariate GARCH, stationarity, stochastic volatility
Zeitschriftentitel:
Stochastic Processes and their Applications
Jahr:
2011
Band / Volume:
121
Heft / Issue:
10
Seitenangaben Beitrag:
2331-2360
Reviewed:
ja
Sprache:
en
WWW:
Link to Journal
Semester:
SS 11
Format:
Text
 BibTeX