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math.PR2011★ 97 cited
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…
math.PR2011
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…