대한수학회보 (Bulletin of the Korean Mathematical Society)

  • 제38권3호
  • /
  • Pages.495-504
  • /
  • 2001
  • /
  • 1015-8634(pISSN)
  • /
  • 2234-3016(eISSN)
대한수학회 (Korean Mathematical Society)
권호 표지

STRICT STATIONARITY AND FUNCTIONAL CENTRAL LIMIT THEOREM FOR ARCH/GRACH MODELS

  • Lee, Oe-Sook (DEPARTMENT OF STATISTICS, EWHA WOMANS UNIVERSITY) ;
  • Kim, Ji-Hyun (DEPARTMENT OF STATISTICS, EWHA WOMANS UNIVERSITY)
  • 발행 : 2001.08.01
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초록

In this paper we consider the (generalized) autoregressive model with conditional heteroscedasticity (ARCH/GARCH models). We willing give conditions under which strict stationarity, ergodicity and the functional central limit theorem hold for the corresponding models.

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참고문헌

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