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

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  • Lee, O.
  • Shin, D.W.

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.

Suggested Citation

  • Lee, O. & Shin, D.W., 2008. "Geometric ergodicity and [beta]-mixing property for a multivariate CARR model," Economics Letters, Elsevier, vol. 100(1), pages 111-114, July.
    • Handle: RePEc:eee:ecolet:v:100:y:2008:i:1:p:111-114
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    References listed on IDEAS

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