Strong approximation of the empirical process of GARCH sequences

DOI10.1214/aoap/1015345349zbMath1014.60033OpenAlexW1976998709MaRDI QIDQ1872456

István Berkes, Lajos Horváth

Publication date: 6 May 2003

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

Full work available at URL: https://doi.org/10.1214/aoap/1015345349

zbMATH Keywords

rates of convergenceGARCHempirical processstrong approximationestimates for increments

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17)

Related Items (12)

Strong approximation for the sums of squares of augmented GARCH sequences ⋮ Efficient prediction for linear and nonlinear autoregressive models ⋮ Asymptotic results for long memory LARCH sequences ⋮ Split invariance principles for stationary processes ⋮ Distributional analysis of empirical volatility in GARCH processes ⋮ Bahadur-Kiefer theory for sample quantiles of weakly dependent linear processes ⋮ Estimation of the quantile function using Bernstein–Durrmeyer polynomials ⋮ Extensions of some classical methods in change point analysis ⋮ On the empirical characteristic function process of the residuals in GARCH models and applications ⋮ Augmented GARCH sequences: Dependence structure and asymptotics ⋮ Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models ⋮ Asymptotic results for the empirical process of stationary sequences

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