The functional central limit theorem for a family of GARCH observations with applications

DOI10.1016/J.SPL.2008.03.021zbMATH Open1151.60323OpenAlexW2170454421MaRDI QIDQ952866FDOQ952866

Authors: István Berkes, Lajos Horváth, Siegfried Hörmann 

Publication date: 14 November 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.03.021

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• scientific article; zbMATH DE number 2152219

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17)

Cites Work

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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• Some Limit Theorems for Stationary Processes
• GARCH (1,1) processes are near epoch dependent
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• Augmented GARCH\((p,q)\) process and its diffusion limit
• Detection of change in persistence of a linear time series
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• STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
• An invariance principle for certain dependent sequences
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• An invariance principle for weakly dependent stationary general models
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Cited In (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
• Asymptotics for semi-strong augmented GARCH(1,1) model
• A central limit theorem for the functional estimation of the spot volatility
• 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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