The Limiting Distribution of a Non‐Stationary Integer Valued GARCH(1,1) Process

DOI10.1111/jtsa.12496zbMath1455.62180OpenAlexW2966454075MaRDI QIDQ5111849

Jon Michel

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

zbMATH Keywords

weak convergencestochastic differential equationslimiting distributionnon-stationary time seriesinteger-valued GARCHINGARCH (integer-valued generalized autoregressive conditional heteroscedastic) process

Mathematics Subject Classification ID

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)

Cites Work

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• Log-linear Poisson autoregression
• Absolute regularity and ergodicity of Poisson count processes
• An introduction to stochastic unit-root processes
• Generalized autoregressive conditional heteroscedasticity
• Nonlinear Poisson autoregression
• Poisson Autoregression
• Integer-Valued GARCH Process
• Modelling the persistence of conditional variances
• Self-Excited Threshold Poisson Autoregression
• A negative binomial integer-valued GARCH model

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