A central limit theorem for random coefficient autoregressive models and ARCH/GARCH models

DOI10.1239/AAP/1035227994zbMath0905.60052OpenAlexW2046976877MaRDI QIDQ4391408

Andreas Rudolph

Publication date: 2 February 1999

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1035227994

zbMATH Keywords

Markov processeslaw of large numbersrandom systems with complete connectionsasymptotic stationarityRCA modelsCL regularity

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Discrete-time Markov processes on general state spaces (60J05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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