Limit theory for moderate deviations from integrated GARCH processes

• المؤلف الرئيسي: TAO, Yubo
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2019
• الموضوعات: Central limit theorem; Limiting process; Localization; Explosive GARCH; Volatility process; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/2265; https://ink.library.smu.edu.sg/context/soe_research/article/3264/viewcontent/Limit_Theory_for_Mildly_Integated_GARCH_Processes.pdf
• المؤسسة: Singapore Management University

This paper develops the limit theory of the GARCH(1,1) process that moderately deviates from IGARCH process towards both stationary and explosive regimes. The asymptotic theory extends Berkes et al. (2005) by allowing the parameters to have a slower rate of convergence. The results can be applied to...