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자연과학대학
통계학전공
Journal papers
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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
이외숙
;
신동완
SCOPUS Author ID
이외숙
; 신동완
Issue Date
2008
Journal Title
Economics Letters
ISSN
0165-1765
Citation
Economics Letters vol. 100, no. 1, pp. 111 - 114
Indexed
SSCI; SCOPUS
Document Type
Article
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
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