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math.ST2008★ 69 cited
Augmented GARCH sequences: Dependence structure and asymptotics
Siegfried Hörmann
The augmented GARCH model is a unification of numerous extensions of the popular and widely used ARCH process. It was introduced by Duan and besides ordinary (linear) GARCH process…
math.ST2008★ 45 cited
Uniform limit theorems for wavelet density estimators
Evarist Giné, Richard Nickl
Let be the linear wavelet density estimator, where , are a father and a mother wavelet (with…