Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models
This paper studies a class of Markov models which consist of two components. Typically, one of the components is observable and the other is unobservable or 'hidden'. Conditions under which geometric ergodicity of the unobservable component is inherited by the joint process formed of the t...
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| Format: | Working paper |
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University of Oxford
2007
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