Limit theory for moderate deviations from integrated GARCH processes

Limit theory for moderate deviations from integrated GARCH processes

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...

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書目詳細資料
主要作者:	TAO, Yubo
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2019
主題:	Central limit theorem Limiting process Localization Explosive GARCH Volatility process Econometrics
在線閱讀:	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
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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