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GARCH(1, 1) processes are near epoch dependent

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References

1986Generalized autoregressive conditional heteroskedasticity22,329 cited
1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
1992ARCH modeling in finance4,288 cited
1988Some Invariance Principles and Central Limit Theorems for Dependent Heterogeneous Processes254 cited

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2017Studentized U-quantile processes under dependence with applications to change-point analysis13 cited