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

non-stationary time seriesweak convergencestochastic differential equationslimiting distributioninteger-valued GARCHINGARCH (integer-valued generalized autoregressive conditional heteroscedastic) process

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• 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
• 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

(7)

• Infinitely divisible distributions in integer-valued GARCH models
• 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
• Integer-Valued GARCH Process
• Limit theory for moderate deviation from integrated GARCH processes
• Reconsidering the continuous time limit of the GARCH(1,1) process

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