Bivariate FCLT for the sample quantile and measures of dispersion for augmented GARCH(p, q) processes

Marcel Bräutigam, Marie Kratz

Year of publication:	[2019]
Authors:	Bräutigam, Marcel ; Kratz, Marie
Publisher:	[Cergy-Pontoise] : ESSEC Business School
Subject:	asymptotic distribution \| functional central limit theorem \| (augmented) GARCH \| correlation \| (sample) quantile \| measure of dispersion \| (sample) mean absolute deviation \| (sample) variance

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