The limiting distribution of a non-stationary integer valued GARCH(1,1) process

DOI10.1111/JTSA.12496MaRDI QIDQ5111849zbMATH OpenOpenAlexFDO

Authors 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

INGARCH (integer-valued generalized autoregressive conditional heteroscedastic) processinteger-valued GARCHlimiting distributionnon-stationary time seriesstochastic differential equationsweak convergence

Mathematics Subject Classification ID

Time series analysis of dynamical systems (37M10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical solutions to stochastic differential and integral equations (65C30) Economic time series analysis (91B84)

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Cites work

• A negative binomial integer-valued GARCH model
• Absolute regularity and ergodicity of Poisson count processes
• An introduction to stochastic unit-root processes
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Integer-Valued GARCH Process
• Log-linear Poisson autoregression
• Modelling the persistence of conditional variances
• Nonlinear Poisson autoregression
• Poisson autoregression
• Self-excited threshold Poisson autoregression

Cited in

(8)

• Augmented GARCH\((p,q)\) process and its diffusion limit
• Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model
• Reconsidering the continuous time limit of the GARCH(1,1) process
• Limit theory for moderate deviation from integrated GARCH processes
• Integer-Valued GARCH Process
• Infinitely divisible distributions in integer-valued GARCH models
• Nonnegative GARCH-type models with conditional Gamma distributions and their applications
• Forecasting natural disaster frequencies using nonstationary count time series models

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