The functional central limit theorem for ARMA-GARCH processes

DOI10.1016/J.ECONLET.2013.09.018MaRDI QIDQ2453043zbMATH OpenOpenAlexFDO

Authors Oesook Lee

Publication date 6 June 2014

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2013.09.018

zbMATH Keywords

\(L^2\)-NEDARMA-GARCHfunctional central limit theoremGARCH

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• An invariance principle for weakly dependent stationary general models
• Augmented GARCH sequences: Dependence structure and asymptotics
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
• GARCH (1,1) processes are near epoch dependent
• Generalized autoregressive conditional heteroscedasticity
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• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
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• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Stationarity of GARCH processes and of some nonnegative time series
• STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
• Strict stationarity and functional central limit theorem for ARCH/GARCH models
• The functional central limit theorem for a family of GARCH observations with applications

Cited in

(12)

• Note on functional large deviation principle for fractional ARIMA processes
• A look at the quality of the approximation of the functional central limit theorem
• Parameter change tests for ARMA-GARCH models
• Stationarity and functional central limit theorem for ARCH(\(\infty\)) models
• Statistical inference for mixture GARCH models with financial application
• The functional central limit theorem for the multivariate MS-ARMA-GARCH model
• Strict stationarity and functional central limit theorem for ARCH/GARCH models
• A central limit theorem for the functional estimation of the spot volatility
• Functional central limit theorems for augmented GARCH(p,q) and FIGARCH processes
• The functional central limit theorem and structural change test for the \(\mathrm{HAR}(\infty)\) model
• Asymptotics for semi-strong augmented GARCH(1,1) model
• The functional central limit theorem for a family of GARCH observations with applications

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