Functional central limit theorems for augmented GARCH(p,q) and FIGARCH processes

DOI10.1016/J.JKSS.2013.12.001zbMATH Open1306.60024OpenAlexW2024476734MaRDI QIDQ397230FDOQ397230

Authors: Oesook Lee 

Publication date: 11 August 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2013.12.001

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zbMATH Keywords

functional central limit theorem\(L_2\)-NEDaugmented GARCHFIGARCHfractional FCLT

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17)

Cites Work

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Cited In (5)

• Asymptotics for semi-strong augmented GARCH(1,1) model
• Augmented GARCH\((p,q)\) process and its diffusion limit
• The functional central limit theorem for a family of GARCH observations with applications
• The functional central limit theorem for the multivariate MS-ARMA-GARCH model
• Strict stationarity and functional central limit theorem for ARCH/GARCH models

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