Limit Theory for Stationary Autoregression with Heavy-Tailed Augmented GARCH Innovations

Limit Theory for Stationary Autoregression with Heavy-Tailed Augmented GARCH Innovations

This paper considers stationary autoregressive (AR) models with heavy-tailed, general GARCH (G-GARCH) or augmented GARCH noises. Limit theory for the least squares estimator (LSE) of autoregression coefficient <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" displa...

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Bibliographic Details
Main Author: Eunju Hwang
Format: Article
Language:English
Published: MDPI AG 2021-04-01
Series:Mathematics
Subjects:
autoregression
augmented GARCH
heavy-tailed
limit theory
Online Access:https://www.mdpi.com/2227-7390/9/8/816

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