AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS

DOI10.1017/S026646660910004XzbMath1202.62116MaRDI QIDQ3557547

Liudas Giraitis, Remigijus Leipus, Donatas Surgailis

Publication date: 23 April 2010

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (8)

Aggregation of random-coefficient AR(1) process with infinite variance and common innovations ⋮ Joint aggregation of random-coefficient AR(1) processes with common innovations ⋮ Asymptotic behavior of weakly dependent aggregated processes ⋮ Aggregation of a random-coefficient ar(1) process with infinite variance and idiosyncratic innovations ⋮ Aggregation of autoregressive random fields and anisotropic long-range dependence ⋮ Anisotropic scaling limits of long-range dependent random fields ⋮ SPLINE ESTIMATION OF A SEMIPARAMETRIC GARCH MODEL ⋮ Limit Theorems for Aggregated Linear Processes

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