Limit theory for moderate deviation from Integrated GARCH processes-Reference-Cited by-同舟云学术

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Limit theory for moderate deviation from Integrated GARCH processes

Published:2019-07 Issue: Volume:150 Page:126-136
ISSN:0167-7152
Container-title:Statistics & Probability Letters
language:en
Short-container-title:Statistics & Probability Letters

Author:

Tao Yubo^ORCID

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference16 articles.

1. Near-integrated garch sequences;Berkes;Ann. Appl. Probab.,2005

2. Probability and Measure;Billingsley,1995

3. Convergence of Probability Measures, second ed.;Billingsley,1999

4. Generalized autoregressive conditional heteroskedasticity;Bollerslev;J. Econometrics,1986

5. Testing for a unit root with near-integrated volatility;Boswijk,2001

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