The functional central limit theorem for a family of GARCH observations with applications

We consider polynomial variables which define an important subclass of Duan's augmented processes. We prove functional central limit theorems for the observations as well as for the volatility process under the assumption of finite second moments. The results imply the convergence of CUSUM, MOSUM and Dickey-Fuller statistics under optimal conditions.

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Year of publication:	2008
Authors:	Berkes, István ; Hörmann, Siegfried ; Horváth, Lajos
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 16, p. 2725-2730
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254988