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Geometric ergodicity and β-mixing property for a multivariate CARR model

Title
Geometric ergodicity and β-mixing property for a multivariate CARR model
Authors
Lee O.Shin D.W.
Ewha Authors
이외숙신동완
SCOPUS Author ID
이외숙scopus; 신동완scopus
Issue Date
2008
Journal Title
Economics Letters
ISSN
0165-1765JCR Link
Citation
vol. 100, no. 1, pp. 111 - 114
Indexed
SSCI; SCOPUS WOS scopus
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. © 2007 Elsevier B.V. All rights reserved.
DOI
10.1016/j.econlet.2007.12.002
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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