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

O. Lee and D.W. Shin

Economics Letters, 2008, vol. 100, issue 1, 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.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165-1765(07)00421-1
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:100:y:2008:i:1:p:111-114

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().