Geometric ergodicity and [beta]-mixing property for a multivariate CARR model

O. Lee and D.W. Shin

Economics Letters, 2008, vol. 100, issue 1, pages 111-114

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

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