The functional central limit theorem for ARMA–GARCH processes

O. Lee

Economics Letters, 2013, vol. 121, issue 3, 432-435

Abstract: 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.

Keywords: Functional central limit theorem; GARCH; ARMA–GARCH; L2-NED (search for similar items in EconPapers)
JEL-codes: C10 C22 C62 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176513004254
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:121:y:2013:i:3:p:432-435

DOI: 10.1016/j.econlet.2013.09.018

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().