Fokianos, Konstantinos; Rahbek, Anders; Tjøstheim, Dag - Økonomisk Institut, Københavns Universitet - 2008
simulations and the analysis of some transaction data. Our approach to verifying geometric ergodicity proceeds via Markov theory … simulations and the analysis of some transaction data. Our approach to
verifying geometric ergodicity proceeds via Markov theory …, observation driven models, asymptotic theory.
1 Introduction
In this paper we study ergodicity and likelihood inference for a …