Geometric ergodicity of the multivariate COGARCH(1,1) process
نویسندگان
چکیده
منابع مشابه
Geometric Ergodicity of the MUCOGARCH(1,1) Process
For the multivariate COGARCH(1,1) volatility process we show sufficient conditions for the existence of a unique stationary distribution, for the geometric ergodicity and for the finiteness of moments of the stationary distribution. One of the conditions demands a sufficiently fast exponential decay of the MUCOGARCH(1,1) volatility process. Furthermore, we show easily applicable sufficient cond...
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ژورنال
عنوان ژورنال: Stochastics
سال: 2020
ISSN: 1744-2508,1744-2516
DOI: 10.1080/17442508.2020.1844704