On geometric ergodicity of skewed—SVCHARME models
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DOI: 10.1016/j.spl.2013.10.008
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- Jerzy P. Rydlewski & Ma{l}gorzata Snarska, 2012. "On Geometric Ergodicity of Skewed - SVCHARME models," Papers 1209.1544, arXiv.org.
References listed on IDEAS
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Cited by:
- Tadeusz Klecha & Daniel Kosiorowski & Dominik Mielczarek & Jerzy P. Rydlewski, 2018. "New Proposals of a Stress Measure in a Capital and its Robust Estimator," Papers 1802.03756, arXiv.org.
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Keywords
Markov switching; Geometric ergodicity; Irreducibility; Mixture models; Asymmetric stochastic volatility;All these keywords.
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