Augmented GARCH sequences: Dependence structure and asymptotics

DOI10.3150/07-BEJ120zbMath1155.62066arXiv0805.2214MaRDI QIDQ1002569

Siegfried Hörmann

Publication date: 2 March 2009

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0805.2214

zbMATH Keywords

GARCHempirical processstrong approximationBerry-Esseen boundsweak invariance principles

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Functional limit theorems; invariance principles (60F17)

Related Items

Asymptotics for semi-strong augmented GARCH(1,1) model ⋮ Statistical inference for nonparametric GARCH models ⋮ Inference in nonstationary asymmetric GARCH models ⋮ Functional central limit theorems for augmented GARCH(\(p\),\(q\)) and FIGARCH processes ⋮ A Berry-Esseen bound with (almost) sharp dependence conditions ⋮ Mixing properties of ARCH and time-varying ARCH processes ⋮ ASYMPTOTIC PROPERTIES OF THE CUSUM ESTIMATOR FOR THE TIME OF CHANGE IN LINEAR PANEL DATA MODELS ⋮ Split invariance principles for stationary processes ⋮ A note on strong-consistency of componentwise ARH(1) predictors ⋮ The functional central limit theorem for ARMA-GARCH processes ⋮ Weakly dependent functional data ⋮ Stationarity and functional central limit theorem for ARCH(\(\infty\)) models ⋮ Asymptotic results for the empirical process of stationary sequences ⋮ Optimal Rate of Convergence for Empirical Quantiles and Distribution Functions for Time Series ⋮ Break detection in the covariance structure of multivariate time series models ⋮ Hybrid quantile estimation for asymmetric power GARCH models

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