The Limiting Distribution of a Non‐Stationary Integer Valued GARCH(1,1) Process
DOI10.1111/jtsa.12496zbMath1455.62180OpenAlexW2966454075MaRDI QIDQ5111849
Publication date: 27 May 2020
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12496
weak convergencestochastic differential equationslimiting distributionnon-stationary time seriesinteger-valued GARCHINGARCH (integer-valued generalized autoregressive conditional heteroscedastic) process
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Economic time series analysis (91B84) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30) Time series analysis of dynamical systems (37M10)
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