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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…
math.ST2017
On the tail behavior of a class of multivariate conditionally heteroskedastic processes
Rasmus Pedersen, Olivier Wintenberger
Conditions for geometric ergodicity of multivariate autoregressive conditional heteroskedasticity (ARCH) processes, with the so-called BEKK (Baba, Engle, Kraft, and Kroner) paramet…