Empirical process of the squared residuals of an ARCH sequence

Lajos Horvath, Piotr Kokoszka and Gilles Teyssière

No 1999,87, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: 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 1} a Brownian bridge and e a normal random variable.

Keywords: ARCH model; empirical process; squared residuals (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (4)

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Related works:
Working Paper: Empirical Process of the Squared Residuals of an ARCH Sequence (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:199987

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