Limit theory for moderate deviation from Integrated GARCH processes
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DOI: 10.1016/j.spl.2019.03.001
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- Yubo Tao, 2018. "Limit Theory for Moderate Deviation from Integrated GARCH Processes," Papers 1806.01229, arXiv.org, revised Dec 2018.
References listed on IDEAS
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Keywords
Central limit theorem; Limiting process; Localization; Explosive GARCH; Volatility process;All these keywords.
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