97 citations · 226 across the 4 of their papers we have counts for
4 papers
Stationarity and Geometric Ergodicity of BEKK Multivariate GARCH Models
Farid Boussama, Florian Fuchs, Robert Stelzer
Conditions for the existence of strictly stationary multivariate GARCH processes in the so-called BEKK parametrisation, which is the most general form of multivariate GARCH process…
Spectral Representation of Multivariate Regularly Varying Lévy and CARMA processes
Florian Fuchs, Robert Stelzer
A spectral representation for regularly varying Lévy processes with index between one and two is established and the properties of the resulting random noise are discussed in detai…
Multivariate supOU processes
Ole Eiler Barndorff-Nielsen, Robert Stelzer
Univariate superpositions of Ornstein--Uhlenbeck-type processes (OU), called supOU processes, provide a class of continuous time processes capable of exhibiting long memory behavio…
On the definition, stationary distribution and second order structure of positive semidefinite Ornstein--Uhlenbeck type processes
Christian Pigorsch, Robert Stelzer
Several important properties of positive semidefinite processes of Ornstein--Uhlenbeck type are analysed. It is shown that linear operators of the form $X\mapsto AX+XA^{\mathrm{T}}…