Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters (Q2493561): Difference between revisions

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+The random difference equation \(X_ n = A_ n X_{n-1} + B_ n\) in the critical case
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+Regular variation of GARCH processes.
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+GARCH processes: structure and estimation
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+Stationarity of GARCH processes and of some nonnegative time series
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+Strict stationarity of generalized autoregressive processes
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+The stochastic equation <i>Y<sub>n</sub></i><sub>+1</sub>=<i>A<sub>n</sub>Y<sub>n</sub> + B<sub>n</sub></i> with stationary coefficients
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+Point process and partial sum convergence for weakly dependent random variables with infinite variance
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+The sample autocorrelations of heavy-tailed processes with applications to ARCH
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+Mixing: Properties and examples
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+Inference in Arch and Garch Models with Heavy-Tailed Errors
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+Extremes and related properties of random sequences and processes
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+Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
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+Propriétés de mélange des processus autorégressifs polynomiaux. (Mixing properties of polynomial autoregressive processes)
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+Point processes, regular variation and weak convergence
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+A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
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+Extreme value theory, ergodic theory and the boundary between short memory and long memory for stationary stable processes.
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+Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
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+Publication:2493561