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20192026
most citedCharacterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach

2 citations · 2 across the 3 of their papers we have counts for

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math.ST2019★ 2 cited

Characterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach

Muneya Matsui, Rasmus Søndergaard Pedersen

We provide new, mild conditions for strict stationarity and ergodicity of a class of BEKK processes. By exploiting that the processes can be represented as multivariate stochastic…