91 citations · 91 across the 2 of their papers we have counts for
2 papers
math.ST2011
Strictly stationary solutions of multivariate ARMA equations with i.i.d. noise
Peter J. Brockwell, Alexander Lindner, Bernd Vollenbroeker
We obtain necessary and sufficient conditions for the existence of strictly stationary solutions of multivariate ARMA equations with independent and identically distributed noise.…
math.PR2006★ 91 cited
Continuous-time GARCH processes
Peter Brockwell, Erdenebaatar Chadraa, Alexander Lindner
A family of continuous-time generalized autoregressive conditionally heteroscedastic processes, generalizing the process of Klüppelberg, Lindner and…