Nearly nonstationary processes under infinite variance GARCH noises

DOI10.1007/S11766-022-4442-5OpenAlexW4283018128MaRDI QIDQ2160010FDOQ2160010

Qi Meng Liu, Jian-hua Shi, Rong-Mao Zhang

Publication date: 2 August 2022

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-022-4442-5

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zbMATH Keywords

heavy-tailedGARCH noisesstable processes and unit-root

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Functional limit theorems; invariance principles (60F17)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
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• Title not available (Why is that?)
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• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
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• LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS
• On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
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• NONSTATIONARY LINEAR PROCESSES WITH INFINITE VARIANCE GARCH ERRORS

Cited In (2)

• Infinite variance stable Gegenbauer ARFISMA models
• On strict stationarity of nonlinear ARMA processes with nonlinear GARCH innovations

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