Ergodicity, mixing, and existence of moments of a class of markov models with applications to garch and acd models /

Ergodicity, mixing, and existence of moments of a class of markov models with applications to garch and acd models /

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Bibliografske podrobnosti
Glavni avtor: Meitz, Mika.
Drugi avtorji: Saikkonen, Pentti.
Format: Bài viết
Jezik:English
Teme:
Autoregressive conditional duration
Existence of moments
GARCH
Generalized autoregressive conditional heteroskedasticity
Geometric erogidicity
Markov models
Mixing
Nonlinear time series models
Strict stationarity
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