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.

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Year of publication:	1999
Authors:	Horvath, Lajos ; Kokoszka, Piotr ; Teyssière, Gilles
Publisher:	Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Subject:	ARCH model \| empirical process \| squared residuals

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Series:	SFB 373 Discussion Paper ; 1999,87
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	722908873 [GVK] hdl:10419/61773 [Handle] RePEc:zbw:sfb373:199987 [RePEc]
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010310050