ASYMPTOTIC INFERENCE FOR UNIT ROOT PROCESSES WITH GARCH(1,1) ERRORS
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Publication:4561968
DOI10.1017/S0266466603194029zbMath1441.62798MaRDI QIDQ4561968
Publication date: 14 December 2018
Published in: Econometric Theory (Search for Journal in Brave)
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Functional limit theorems; invariance principles (60F17)
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