The functional central limit theorem for ARMA–GARCH processes

In this paper, we study the functional central limit theorem for ARMA–GARCH processes. We prove that, under the finite second moment assumption, the stationary ARMA–GARCH process is geometricallyL2-NED and that the functional central limit theorem holds.

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Year of publication:	2013
Authors:	Lee, O.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 121.2013, 3, p. 432-435
Publisher:	Elsevier
Subject:	Functional central limit theorem \| GARCH \| ARMA–GARCH \| L2-NED

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Type of publication:	Article
Classification:	C10 - Econometric and Statistical Methods: General. General ; C22 - Time-Series Models ; C62 - Existence and Stability Conditions of Equilibrium
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010729477