Empirical process of the squared residuals of an ARCH sequence

DOI10.1214/aos/1009210548zbMath1012.62053MaRDI QIDQ1848867

Lajos Horváth, Gilles Teyssière, Piotr S. Kokoszka

Publication date: 14 November 2002

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1009210548

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62G20: Asymptotic properties of nonparametric inference

60F05: Central limit and other weak theorems

62G30: Order statistics; empirical distribution functions

Related Items

ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS, SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS, Asymptotic properties in ARCH(p)-time series, Guaranteed detection of an imbalance instant of the GARCH-process, Statistical estimation errors of VaR under ARCH returns, Testing for bubbles and change-points, Estimating the innovation distribution in nonparametric autoregression, Normalized least-squares estimation in time-varying ARCH models, Detection of multiple change-points in multivariate time series, The empirical distribution function and partial sum process of residuals from a stationary ARCH with drift process, Fitting an error distribution in some heteroscedastic time series models, Sequential empirical process in autoregressive models with measurement errors, Asymptotics of rank order statistics for ARCH residual empirical processes., Limit results for the empirical process of squared residuals in GARCH models., Testing for a Change of the Innovation Distribution in Nonparametric Autoregression: The Sequential Empirical Process Approach, Testing for parameter stability in nonlinear autoregressive models, Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models, TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS, Minimum alpha-divergence estimation for arch models, Change‐Point Tests for the Error Distribution in Non‐parametric Regression, Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes, Simulation and Estimation of the Meixner Distribution

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Martingale Approach in the Theory of Goodness-of-Fit Tests
• Approximations of the empirical process when parameters are estimated
• Time series: theory and methods.
• ARCH models and financial applications
• Distribution-free strong consistency for nonparametric kernel regression involving nonlinear time series
• The sample autocorrelations of heavy-tailed processes with applications to ARCH
• Nonparametric model checks for time series
• Evaluating GARCH models.
• Weak convergence of the sequential empirical processes of residuals in ARMA models
• Kernel-transformed empirical processes
• LARGE SAMPLE DISTRIBUTION OF WEIGHTED SUMS OF ARCH(p) SQUARED RESIDUAL CORRELATIONS
• Testing and estimating change-points in time series
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
• Testing for long memory in the presence of a general trend
• Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals
• Detecting parameter shift in garch models
• Distribution Free Tests of Independence Based on the Sample Distribution Function