Limit theory for the sample autocorrelations and extremes of a GARCH $(1,1)$ process.

DOI10.1214/aos/1015957401zbMath1105.62374OpenAlexW1594572042MaRDI QIDQ1848834

Publication date: 14 November 2002

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1015957401

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.