Article ID Journal Published Year Pages File Type
5059547 Economics Letters 2013 4 Pages PDF
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.
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Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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The functional central limit theorem for ARMA-GARCH processes
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