On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
Year of publication: |
2015
|
---|---|
Authors: | Zhang, Rong-Mao ; Sin, Chor-yiu ; Ling, Shiqing |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 125.2015, 2, p. 482-512
|
Publisher: |
Elsevier |
Subject: | GARCH(1 | 1) | Heavy tail | Linear process | Long memory | Rosenblatt process | Short memory |
-
Is GARCH(1,1) as good a model as the Nobel prize accolades would imply?
Starica, Catalin, (2004)
-
The IGARCH e®ect: Consequences on volatility forecasting and option trading
HERZEL, Stefano, (2007)
-
Parameter changes in GARCH model
Fukuda, Kosei, (2010)
- More ...
-
LASSO estimation of threshold autoregressive models
Chan, Ngai Hang, (2015)
-
Group LASSO for Structural Break Time Series
Chan, Ngai Hang, (2014)
-
Chan, Ngai Hang, (2009)
- More ...