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20092021
most citedStationarity and Geometric Ergodicity of BEKK Multivariate GARCH Models

97 citations · 226 across the 4 of their papers we have counts for

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math.ST2019

Moment based estimation for the multivariate COGARCH(1,1) process

Thiago do Rêgo Sousa, Robert Stelzer

For the multivariate COGARCH process, we obtain explicit expressions for the second-order structure of the "squared returns" process observed on an equidistant grid. Based on this,…