MIXING CONDITIONS FOR MULTIVARIATE INFINITELY DIVISIBLE PROCESSES WITH AN APPLICATION TO MIXED MOVING AVERAGES AND THE supOU STOCHASTIC VOLATILITY MODEL

摘要

We consider strictly stationary infinitely divisible processes and first extend the mixing conditions given in Maruyama [Theory Probab. Appl. 15 (1970) 1-22] and Rosinski and Zak [Stoc. Proc. Appl. 61 (1996) 277-288] from the univariate to the d-dimensional case. Thereafter, we show that multivariate Levy-driven mixed moving average processes satisfy these conditions and hence a wide range of well-known processes such as superpositions of Ornstein-Uhlenbeck (supOU) processes or (fractionally integrated) continuous time autoregressive moving average (CARMA) processes are always mixing. Finally, mixing of the log-returns and the integrated volatility process of a multivariate supOU type stochastic volatility model, recently introduced in Barndorff-Nielsen and Stelzer [Math. Finance 23 (2013) 275-296], is established.