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)
Pages: 16 pages
Date: 1999
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Empirical process of the squared residuals of an ARCH sequence (1999)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fth:aixmeq:99a44

Access Statistics for this paper

More papers in G.R.E.Q.A.M. from Universite Aix-Marseille III G.R.E.Q.A.M., (GROUPE DE RECHERCHE EN ECONOMIE QUANTITATIVE D'AIX MARSEILLE), CENTRE DE VIEILLE CHARITE, 2 RUE DE LA CHARITE, 13002 MARSEILLE.. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().