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20172026
most citedCharacterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach

2 citations · 2 across the 4 of their papers we have counts for

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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…