Arbeitspapier
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: SFB 373 Discussion Paper ; No. 1999,87
- Classification
-
Wirtschaft
- Subject
-
ARCH model
empirical process
squared residuals
- Event
-
Geistige Schöpfung
- (who)
-
Horvath, Lajos
Kokoszka, Piotr
Teyssière, Gilles
- Event
-
Veröffentlichung
- (who)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (where)
-
Berlin
- (when)
-
1999
- Handle
- URN
-
urn:nbn:de:kobv:11-10046737
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Horvath, Lajos
- Kokoszka, Piotr
- Teyssière, Gilles
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Time of origin
- 1999
Other Objects (12)
Empirical process of the squared residuals of an ARCH sequence
The empirical process of residuals from an inverse regression
On residuals of finite groups
Residuals and Detachments
Exponent of Cross-sectional Dependence for Residuals
After you Residuals. Tanz.Nord
Global Identifiability Under Uncorrelated Residuals
Solow residuals without capital stocks
Solow Residuals without Capital Stocks
Nonlinear parsimonious forest modeling assuming normal distribution of residuals
Influence of accelerometer parametrizations on GRACE post-fit residuals
Structural vector autoregressions with nonnormal residuals
Empirical process of the squared residuals of an ARCH sequence
The empirical process of residuals from an inverse regression
On residuals of finite groups
Residuals and Detachments
Exponent of Cross-sectional Dependence for Residuals
After you Residuals. Tanz.Nord
Global Identifiability Under Uncorrelated Residuals
Solow residuals without capital stocks
Solow Residuals without Capital Stocks
Nonlinear parsimonious forest modeling assuming normal distribution of residuals
Influence of accelerometer parametrizations on GRACE post-fit residuals
Structural vector autoregressions with nonnormal residuals
Empirical process of the squared residuals of an ARCH sequence
The empirical process of residuals from an inverse regression
On residuals of finite groups
Residuals and Detachments
Exponent of Cross-sectional Dependence for Residuals
After you Residuals. Tanz.Nord
Global Identifiability Under Uncorrelated Residuals
Solow residuals without capital stocks
Solow Residuals without Capital Stocks
Nonlinear parsimonious forest modeling assuming normal distribution of residuals
Influence of accelerometer parametrizations on GRACE post-fit residuals