The Limiting Distribution of a Non‐Stationary Integer Valued GARCH(1,1) Process
DOI10.1111/JTSA.12496zbMATH Open1455.62180OpenAlexW2966454075MaRDI QIDQ5111849FDOQ5111849
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
non-stationary time seriesweak convergencestochastic differential equationslimiting distributioninteger-valued GARCHINGARCH (integer-valued generalized autoregressive conditional heteroscedastic) process
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Asymptotic distribution theory in statistics (62E20) Economic time series analysis (91B84) Time series analysis of dynamical systems (37M10) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
- Generalized autoregressive conditional heteroscedasticity
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- Nonlinear Poisson autoregression
- Poisson Autoregression
- Self-Excited Threshold Poisson Autoregression
- Integer-Valued GARCH Process
- Modelling the persistence of conditional variances
- An introduction to stochastic unit-root processes
- Absolute regularity and ergodicity of Poisson count processes
- Log-linear Poisson autoregression
- A negative binomial integer-valued GARCH model
Cited In (5)
- Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model
- Augmented GARCH\((p,q)\) process and its diffusion limit
- Nonnegative GARCH-type models with conditional Gamma distributions and their applications
- Limit theory for moderate deviation from integrated GARCH processes
- Reconsidering the continuous time limit of the GARCH(1,1) process
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