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.
| Original language | English |
|---|---|
| Pages (from-to) | 432-435 |
| Number of pages | 4 |
| Journal | Economics Letters |
| Volume | 121 |
| Issue number | 3 |
| DOIs | |
| State | Published - Dec 2013 |
Bibliographical 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 ).
Keywords
- -NED
- ARMA-GARCH
- C10
- C22
- C62
- Functional central limit theorem
- GARCH