RENORMING VOLATILITIES IN A FAMILY OF GARCH MODELS

Li, D; Wu, WQ

Wu, WQ (reprint author), Renmin Univ China, Sch Business, Beijing 100872, Peoples R China.

ECONOMETRIC THEORY, 2018; 34 (6): 1370

Abstract

This paper studies the weak convergence of renorming volatilities in a family of GARCH(1,1) models from a functional point of view. After suitable ren......

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