High moment partial sum processes of residuals in GARCH models and their applications
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Publication:2368858
DOI10.1214/009053605000000534zbMath1086.62100arXivmath/0602325OpenAlexW3105622372MaRDI QIDQ2368858
Publication date: 28 April 2006
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0602325
Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Inference from stochastic processes (62M99) Functional limit theorems; invariance principles (60F17) Non-Markovian processes: hypothesis testing (62M07)
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