The functional central limit theorem for ARMA-GARCH processes

O. Lee

doi:10.1016/j.econlet.2013.09.018

The functional central limit theorem for ARMA-GARCH processes

O. Lee

Department of Statistics

Research output: Contribution to journal › Article › peer-review

7 Scopus citations

Abstract

In this paper, we study the functional central limit theorem for ARMA-GARCH processes. We prove that, under the finite second moment assumption, the stationary ARMA-GARCH process is geometrically_L2-NED and that the functional central limit theorem holds.

Original language	English
Pages (from-to)	432-435
Number of pages	4
Journal	Economics Letters
Volume	121
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2013.09.018
State	Published - Dec 2013

Keywords

-NED
ARMA-GARCH
C10
C22
C62
Functional central limit theorem
GARCH

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10.1016/j.econlet.2013.09.018

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title = "The functional central limit theorem for ARMA-GARCH processes",

abstract = "In this paper, we study the functional central limit theorem for ARMA-GARCH processes. We prove that, under the finite second moment assumption, the stationary ARMA-GARCH process is geometricallyL2-NED and that the functional central limit theorem holds.",

keywords = "-NED, ARMA-GARCH, C10, C22, C62, Functional central limit theorem, GARCH",

author = "O. Lee",

note = "Funding Information: This research was supported by Basic Science Research Program through the NRF funded by the Ministry of Education, Science and Technology ( 2012 R1A1A 2039928 and 2013R1A1A2006828 ). ",

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PY - 2013/12

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AB - In this paper, we study the functional central limit theorem for ARMA-GARCH processes. We prove that, under the finite second moment assumption, the stationary ARMA-GARCH process is geometricallyL2-NED and that the functional central limit theorem holds.

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KW - C10

KW - C22

KW - C62

KW - Functional central limit theorem

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VL - 121

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EP - 435

JO - Economics Letters

JF - Economics Letters

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ER -

The functional central limit theorem for ARMA-GARCH processes

Abstract

Keywords

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