Asymptotics for semi-strong augmented GARCH(1,1) model

DOI10.1080/03610926.2021.1887894MaRDI QIDQ5046800zbMATH OpenOpenAlexFDO

Authors Oesook Lee, Joo-Young Kim

Publication date 9 November 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2021.1887894

zbMATH Keywords

\(\alpha\)-mixing\(\phi\)-mixing\(L_2\)-NEDfunctional central limit theoremsemi-strong augmented GARCH(1,1) model

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(3)

• Augmented GARCH sequences: Dependence structure and asymptotics
• Augmented GARCH\((p,q)\) process and its diffusion limit
• Strong approximation for the sums of squares of augmented GARCH sequences

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