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Title:

Stationarity and geometric ergodicity of BEKK multivariate GARCH models

Document type:
Zeitschriftenaufsatz
Author(s):
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...     »
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
WWW:
Link to Journal
Semester:
SS 11
Format:
Text
 BibTeX