GARCH (1,1) processes are near epoch dependent
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Publication:1175963
DOI10.1016/0165-1765(91)90186-OzbMath0806.62069OpenAlexW2163789136MaRDI QIDQ1175963
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
invariance principlescentral limit theoremsnear epoch dependenceGARCH(1,1) processesweak and strong laws of large numbers
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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- Generalized autoregressive conditional heteroscedasticity
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- 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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