Functional central limit theorems for augmented GARCH(\(p\),\(q\)) and FIGARCH processes

DOI10.1016/j.jkss.2013.12.001zbMath1306.60024OpenAlexW2024476734MaRDI QIDQ397230

Oesook Lee

Publication date: 11 August 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2013.12.001

zbMATH Keywords

functional central limit theorem\(L_2\)-NEDaugmented GARCHFIGARCHfractional FCLT

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17)

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Asymptotics for semi-strong augmented GARCH(1,1) model

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