Limit results for the empirical process of squared residuals in GARCH models

We study the asymptotic behavior of the empirical distribution function and the empirical process of squared residuals. We prove the Glivenko-Cantelli theorem for the empirical distribution function. We show that the two-parameter empirical process converges to a Gaussian process.

MoreLess

Year of publication:	2003
Authors:	Berkes, István ; Horváth, Lajos
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 105.2003, 2, p. 271-298
Publisher:	Elsevier
Subject:	GARCH(p \| q) Residuals Weak convergence Martingales Parameter estimation

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874321