Limit theory for moderate deviation from integrated GARCH processes

DOI10.1016/j.spl.2019.03.001zbMath1429.62415arXiv1806.01229OpenAlexW2805842497WikidataQ128296867 ScholiaQ128296867MaRDI QIDQ2322613

Yubo Tao

Publication date: 5 September 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.01229

zbMATH Keywords

central limit theoremlocalizationlimiting processvolatility processexplosive GARCH

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

Cites Work

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• Inference in nonstationary asymmetric GARCH models
• Testing for unit roots in time series models with non-stationary volatility
• Augmented GARCH\((p,q)\) process and its diffusion limit
• Near-integrated GARCH sequences
• Generalized autoregressive conditional heteroscedasticity
• Reconsidering the continuous time limit of the GARCH(1,1) process
• ARCH models as diffusion approximations
• Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
• HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT

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