Arc length asymptotics for multivariate time series

DOI10.1002/ASMB.2030MaRDI QIDQ6574713zbMATH OpenFDO

Authors Tharanga D. Wickramarachchi, Colin M. Gallagher, Robert Lund

Publication date 18 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

changepointARMAcentral limit theoremGARCHvolatility

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 2152219 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A new weak dependence condition and applications to moment inequalities
• An invariance principle for weakly dependent stationary general models
• Empirical properties of asset returns: stylized facts and statistical issues
• Estimation of integrated volatility in stochastic volatility models
• Generalized autoregressive conditional heteroscedasticity
• How can we Define the Concept of Long Memory? An Econometric Survey
• MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
• Mean shift testing in correlated data
• Multivariate Stochastic Variance Models
• Multivariate Stochastic Volatility: A Review
• Recent advances in invariance principles for stationary sequences
• Statistical inference for time-inhomogeneous volatility models.
• Testing for changes in the covariance structure of linear processes
• Testing for parameter constancy in GARCH\((p,q)\) models
• The functional central limit theorem for a family of GARCH observations with applications
• Time series: theory and methods.

This page was built for publication: Arc length asymptotics for multivariate time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6574713)