A central limit theorem for random coefficient autoregressive models and ARCH/GARCH models
1998 ◽
Vol 30
(1)
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pp. 113-121
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In this paper we study the so-called random coeffiecient autoregressive models (RCA models) and (generalized) autoregressive models with conditional heteroscedasticity (ARCH/GARCH models). Both models can be represented as random systems with complete connections. Within this framework we are led (under certain conditions) to CL-regular Markov processes and we will give conditions under which (i) asymptotic stationarity, (ii) a law of large numbers and (iii) a central limit theorem can be shown for the corresponding models.
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1991 ◽
Vol 12
(3)
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pp. 293-326
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2005 ◽
Vol 134
(2)
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pp. 215-247
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1999 ◽
Vol 96
(5)
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pp. 3455-3471
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1983 ◽
Vol 13
(2)
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pp. 287-301
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1969 ◽
Vol 136
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pp. 545
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