Article ID Journal Published Year Pages File Type
5061931 Economics Letters 2008 4 Pages PDF
Abstract

Multivariate conditional autoregressive range process is considered and conditions for existence of the first moment, stationarity, geometric ergodicity and β-mixing property with exponential decay are obtained.

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Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Geometric ergodicity and β-mixing property for a multivariate CARR model
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