Stationarity and functional central limit theorem for ARCH(\(\infty\)) models

DOI10.1016/J.ECONLET.2017.11.017zbMath1401.62168OpenAlexW2769478136MaRDI QIDQ1787244

Oesook Lee

Publication date: 5 October 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2017.11.017

zbMATH Keywords

functional central limit theorem\(L_2\)-NED propertymixture memory GARCH processrandom coefficient ARCH(\(\infty\)) process

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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• STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
• ON MIXTURE MEMORY GARCH MODELS

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