Zhang, Rong-Mao; Sin, Chor-yiu; Ling, Shiqing - In: Stochastic Processes and their Applications 125 (2015) 2, pp. 482-512
This paper considers the short- and long-memory linear processes with GARCH (1,1) noises. The functional limit distributions of the partial sum and the sample autocovariances are derived when the tail index α is in (0,2), equal to 2, and in (2,∞), respectively. The partial sum weakly...
