Edgeworth expansions for volatility models

DOI10.1214/23-ejp1018arXiv2111.00529OpenAlexW3210827774MaRDI QIDQ6136793

Moritz Jirak

Publication date: 17 January 2024

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2111.00529

zbMATH Keywords

Edgeworth expansionsweak dependencevolatility modelsGarch

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) (L^p)-limit theorems (60F25)

Cites Work

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