Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models
Year of publication: |
2004
|
---|---|
Authors: | Meitz, Mika ; Saikkonen, Pentti |
Publisher: |
Stockholm : Stockholm School of Economics, The Economic Research Institute (EFI) |
Subject: | Markovscher Prozess | ARCH-Modell | Theorie |
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