Bivariate FCLT for the Sample Quantile and Measures of Dispersion for Augmented GARCH(p, q) processes
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- Marcel Brautigam & Marie Kratz, 2020. "The Impact of the Choice of Risk and Dispersion Measure on Procyclicality," Papers 2001.00529, arXiv.org.
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More about this item
Keywords
functional central limit theorem; (augmented) GARCH; correlation; (sample) quantile; measure of dispersion; (sample) mean absolute deviation; (sample) variance; asymptotic distribution;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2019-07-29 (Econometrics)
- NEP-ETS-2019-07-29 (Econometric Time Series)
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