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Empirical process of the squared residuals of an ARCH sequence

We show that the empirical process of the squared residuals of an ARCH(p) sequence converges in distribution 1,0 a Gaussirm process B(F(t)) +t f(t) e, where F is the distribution function of the squared innovations, f its derivative, {B(tl, 0 <; t>1} a Brownian bridge and e a normal random variable.
Year of publication:
1999
Authors: Horvath, Lajos ; Kokoszka, Piotr ; Teyssière, Gilles
Institutions: Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
Subject: ARCH model | empirical process | squared residuals
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
Number 1999,87
Source:
Persistent link: https://www.econbiz.de/10010983697
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