GARCH (1,1) processes are near epoch dependent

DOI10.1016/0165-1765(91)90186-OzbMath0806.62069OpenAlexW2163789136MaRDI QIDQ1175963

Bruce E. Hansen

Publication date: 25 June 1992

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(91)90186-o

zbMATH Keywords

invariance principlescentral limit theoremsnear epoch dependenceGARCH(1,1) processesweak and strong laws of large numbers

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

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Cites Work

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• A maximal inequality and dependent strong laws
• Generalized autoregressive conditional heteroscedasticity
• Non-strong mixing autoregressive processes
• Conditions for linear processes to be strong-mixing
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• On the Strong Mixing Property for Linear Sequences
• Some Limit Theorems for Stationary Processes

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