GARCH(1,1) PROCESSES ARE NEAR EPOCH DEPENDENT

被引：35
|
作者：
HANSEN, BE
机构：
[1] University of Rochester, Rochester
来源：
ECONOMICS LETTERS | 1991年 / 36卷 / 02期
关键词：
D O I：
10.1016/0165-1765(91)90186-O
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper obtains conditions under which GARCH(1, 1) processes satisfy near epoch dependence without imposing strict stationarity. This substantially generalizes the conditions under which weak and strong laws of large numbers, central limit theorems and invariance principles hold for GARCH processes. © 1991.
引用
收藏
页码：181 / 186
页数：6
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