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Empirical Process of the Squared Residuals of an ARCH Sequence

Lajos Horvath, P. Kokoszka and G. Teyssiere

G.R.E.Q.A.M. from Universite Aix-Marseille III

Abstract: 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

Keywords: EXPERIMENTS; ECONOMIC MODELS; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 1999
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