Chan, Ngai Hang; Zhang, Rong-Mao - In: Journal of Multivariate Analysis 120 (2013) C, pp. 18-33
Let Xt=∑j=0∞cjεt−j be a moving average process with GARCH (1, 1) innovations {εt}. In this paper, the asymptotic behavior of the quadratic form Qn=∑j=1n∑s=1nb(t−s)XtXs is derived when the innovation {εt} is a long-memory and heavy-tailed process with tail index α, where {b(i)} is...
