Probabilistic Analysis of Multivariate GARCH Models

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Inhaltsangabe:Die Einleitung senden wir Ihnen auf Anfrage unter info@diplom.de gerne zu.Inhaltsverzeichnis:Table of Contents:Introductionii1.Preliminaries11.1Markov Chains11.1.1Strict Stationarity and Stationarity21.1.2Invariant Measures31.1.3Irreducibility, Small Sets and Aperiodic Chains41.1.4Petite Sets51.1.5Feller Chains61.1.6Transience, Recurrence and Harris Recurrence81.1.7Ergodicity91.1.8ß ? Mixing91.1.9Criterion for Ergodicity and ß ? Mixing101.2Algebraic Geometry121.2.1Semi-algebraic and Algebraic Sets121.2.2Regular Points and Dimension of Algebraic Varieties151.2.3Regular Maps172.Autoregressive Processes defined by a Composition of a Regular Map and a Diffeomorphism202.1Introduction202.2Properties of the Image Measure212.3Semi-polynomial Markov Chains242.3.1Model and Assumptions252.3.2Algebraic Variety of States262.3.3Harris Recurrence, Ergodicity and ß ? Mixing283.Multivariate GARCH Models323.1Introduction and Notations323.2The vec and BEKK Models333.3Stationarity of Multivariate GARCH Models363.3.1Autoregressive Representation363.3.2Some Results from Linear Algebra383.3.3Verification of Assumption (A2)443.3.4Verification of Assumption (A3)463.3.5Foster - Lyapounov Condition (FL)493.3.6Harris Recurrence, Ergodicity and ß ? Mixing52Textprobe:Eine Textprobe senden wir Ihnen auf Anfrage unter info@diplom.de gerne zu.

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