Negative Moment Bounds for Sample Autocovariance Matrices of Stationary Processes Driven by Conditional Heteroscedastic Errors and Their Applications

Hsueh-Han Huang, Ching-Kang Ing, Shu-Hui Yu

We establish a negative moment bound for the sample autocovariance matrix of a stationary process driven by conditional heteroscedastic errors. This moment bound enables us to asym…