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Optimal Rate of Convergence for Empirical Quantiles and Distribution Functions for Time Series

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  • Moritz Jirak

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  • Moritz Jirak, 2016. "Optimal Rate of Convergence for Empirical Quantiles and Distribution Functions for Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(6), pages 825-836, November.
    • Handle: RePEc:bla:jtsera:v:37:y:2016:i:6:p:825-836
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    File URL: http://hdl.handle.net/10.1111/jtsa.12189
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    References listed on IDEAS

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    1. Duan, Jin-Chuan, 1997. "Augmented GARCH (p,q) process and its diffusion limit," Journal of Econometrics, Elsevier, vol. 79(1), pages 97-127, July.
    2. Ding, Zhuanxin & Granger, Clive W. J., 1996. "Modeling volatility persistence of speculative returns: A new approach," Journal of Econometrics, Elsevier, vol. 73(1), pages 185-215, July.
    3. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    4. Lahiri, S. N., 1992. "On the Bahadur--Ghosh--Kiefer representation of sample quantiles," Statistics & Probability Letters, Elsevier, vol. 15(2), pages 163-168, September.
    5. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    6. Berkes, István & Hörmann, Siegfried & Schauer, Johannes, 2009. "Asymptotic results for the empirical process of stationary sequences," Stochastic Processes and their Applications, Elsevier, vol. 119(4), pages 1298-1324, April.
    7. Berkes, István & Hörmann, Siegfried & Horváth, Lajos, 2008. "The functional central limit theorem for a family of GARCH observations with applications," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2725-2730, November.
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