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 to a Gaussian process B (F(t)) + tf(t)E , where F is the distribution function of the squared innovations, f its derivative, {B(t), 0<= t <= 1} a Brownian bridge and E a normal random variable.

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Year of publication:	1999
Authors:	Horvath, L. ; Kokoszka, P. ; Teyssiere, G.
Institutions:	Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM), Aix-Marseille School of Economics (AMSE)
Subject:	EXPERIMENTS \| ECONOMIC MODELS \| ECONOMETRICS

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Series:	G.R.E.Q.A.M..
Type of publication:	Book / Working Paper
Notes:	16 pages
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005779653