Strong approximation for the sums of squares of augmented GARCH sequences

By Alexander Aue, István Berkes, Lajos Horv'ath. 2006

65 citations recorded by the source corpus.

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/5f37aa2a48489102ec4933fab5f464dadaebad79

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Citations in the corpus

Asymptotic results for the empirical process of stationary sequences (2009, unknown): “[1] gave necessary and sufficient conditions for the existence of a unique strictly stationary solution of (15) and (16).”
Testing for changes in polynomial regression (2008, background): “An applica tion of the main result in Aue et al. (2007) implies that lim { <c(n,x)} = exp(-e~x/2), i = 1,2,”
Extensions of some classical methods in change point analysis (2014, methodology): “For details we refer to Aue et al. (2008b). By the law of the iterated logarithm for the Wiener process we get immediately that”
Split invariance principles for stationary processes. (2011, background): “2 k one usually assumes that Λ−1(x) exists. Necessary and suﬃcient conditions for the existence of a strictly stationary solution of (20) and (21) were given by Duan [17] and Aue, Berkes and Horva´th [2]. Under some technical conditions stated in H¨ormann [21] (Lemmas 1, 2 and Remark 2) one can show”
Break detection in the covariance structure of multivariate time series models (2009, methodology): “as long as necessary and sufﬁcient conditions for the existence of strictly stationary solutions and moments are available. One such class of GARCH models has been studied in Aue, Berkes and Horva´th [5]. 4.3. Jeantheau’s constant conditional correlation GARCH model. An extension of the CCC–GARCH mo”
Delay times of sequential procedures for multiple time series regression models (2009, methodology): “Other sequential procedures for the same testing problemwere introduced in Leisch et al. (2000), Horváth et al. (2004), Zeileis et al. (2005), and Aue et al. (2006b).”