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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Detalles Bibliográficos
Autor principal: Meitz, Mika.
Otros Autores: Saikkonen, Pentti.
Formato: Artículo
Lenguaje:English
Materias:
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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