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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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2019
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| Online Access: | 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 |
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| Institution: | Singapore Management University |
| Language: | English |