Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations

DOI10.1016/j.jmva.2013.04.007zbMath1280.62104OpenAlexW2063748808MaRDI QIDQ391793

Ngai Hang Chan, Rong Mao Zhang

Publication date: 13 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2013.04.007

zbMATH Keywords

quadratic formslinear processes

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)

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A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation

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