Stationarity and geometric ergodicity of BEKK multivariate GARCH models
Keywords: نوسان پذیری تصادفی; primary, 60J05; secondary, 60B99, 62M10, 91G70ββ-mixing; Foster–Lyapunov drift condition; Geometric ergodicity; Harris recurrence; Multivariate GARCH; Stationarity; Stochastic volatility