DSpace at EWHA: Functional central limit theorems for ARCH(∞) models

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DC Field	Value	Language
dc.contributor.author	이외숙	*
dc.date.accessioned	2018-11-23T16:30:11Z	-
dc.date.available	2018-11-23T16:30:11Z	-
dc.date.issued	2017	*
dc.identifier.issn	2287-7843	*
dc.identifier.other	OAK-23758	*
dc.identifier.uri	https://dspace.ewha.ac.kr/handle/2015.oak/247030	-
dc.description.abstract	In this paper, we study ARCH(∞) models with either geometrically decaying coefficients or hyperbolically decaying coefficients. Most popular autoregressive conditional heteroscedasticity (ARCH)-type models such as various modified generalized ARCH (GARCH) (p, q), fractionally integrated GARCH (FIGARCH), and hyperbolic GARCH (HYGARCH). can be expressed as one of these cases. Sufficient conditions for L2-near-epoch dependent (NED) property to hold are established and the functional central limit theorems for ARCH(∞) models are proved. © 2017 The Korean Statistical Society, and Korean International Statistical Society.	*
dc.description.sponsorship	Ministry of Education, Science and Technology	*
dc.language	English	*
dc.publisher	Korean Statistical Society	*
dc.subject	ARCH(∞) model	*
dc.subject	Functional central limit theorem	*
dc.subject	L2-NED property	*
dc.title	Functional central limit theorems for ARCH(∞) models	*
dc.type	Article	*
dc.relation.issue	5	*
dc.relation.volume	24	*
dc.relation.index	SCOPUS	*
dc.relation.index	KCI	*
dc.relation.startpage	443	*
dc.relation.lastpage	455	*
dc.relation.journaltitle	Communications for Statistical Applications and Methods	*
dc.identifier.doi	10.5351/CSAM.2017.24.5.443	*
dc.identifier.scopusid	2-s2.0-85034616001	*
dc.author.google	Choi S.	*
dc.author.google	Lee O.	*
dc.contributor.scopusid	이외숙(8425708300)	*
dc.date.modifydate	20241128115404	*