The functional central limit theorem for a family of GARCH observations with applications
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- scientific article; zbMATH DE number 2152219
Cites work
- scientific article; zbMATH DE number 1048663 (Why is no real title available?)
- scientific article; zbMATH DE number 2152219 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
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- An invariance principle for weakly dependent stationary general models
- Augmented GARCH\((p,q)\) process and its diffusion limit
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Detection of change in persistence of a linear time series
- Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
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(18)- The functional central limit theorem for Markov-switching GARCH model
- Functional central limit theorems for augmented GARCH(p,q) and FIGARCH processes
- Edgeworth expansions for volatility models
- A central limit theorem for the functional estimation of the spot volatility
- Asymptotics for semi-strong augmented GARCH(1,1) model
- On weak invariance principles for partial sums
- Arc length asymptotics for multivariate time series
- Asymptotic results for the empirical process of stationary sequences
- The functional central limit theorem for the multivariate MS-ARMA-GARCH model
- Extensions of some classical methods in change point analysis
- Berry-Esseen theorems under weak dependence
- Structural breaks in time series
- UNIT ROOT TESTS WITH WAVELETS
- The functional central limit theorem for ARMA-GARCH processes
- Strict stationarity and functional central limit theorem for ARCH/GARCH models
- Optimal rate of convergence for empirical quantiles and distribution functions for time series
- Break detection in the covariance structure of multivariate time series models
- Stationarity and functional central limit theorem for ARCH(\(\infty\)) models
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