Empirical process of the squared residuals of an ARCH sequence

DOI10.1214/AOS/1009210548zbMATH Open1012.62053OpenAlexW1606041968MaRDI QIDQ1848867FDOQ1848867

Authors: Lajos Horváth, Gilles Teyssière, Piotr 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

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• scientific article; zbMATH DE number 2066279
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Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30)

Cites Work

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Cited In (40)

• Title not available (Why is that?)
• ASYMPTOTICS FOR GARCH SQUARED RESIDUAL CORRELATIONS
• ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS
• Testing for bubbles and change-points
• Minimum alpha-divergence estimation for arch models
• Joint and marginal specification tests for conditional mean and variance models
• Monitoring disruptions in financial markets
• Asymptotic properties in ARCH(p)-time series
• Testing for multivariate volatility functions using minimum volume sets and inverse regression
• Asymptotics of rank order statistics for ARCH residual empirical processes.
• Detection of multiple change-points in multivariate time series
• Extended Glivenko–Cantelli theorem and L₁ strong consistency of innovation density estimator for time-varying semiparametric ARCH model
• Conditional value-at-risk: semiparametric estimation and inference
• Limit results for the empirical process of squared residuals in GARCH models.
• On empirical processes in heteroscedastic time series and their use for hypothesis testing and estimation
• ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE
• Normalized least-squares estimation in time-varying ARCH models
• Change-point tests for the error distribution in nonparametric regression
• Guaranteed detection of an imbalance instant of the GARCH-process
• Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity
• Simulation and Estimation of the Meixner Distribution
• Projection-based white noise and goodness-of-fit tests for functional time series
• Testing for parameter stability in nonlinear autoregressive models
• Inconsistency of the MLE and inference based on weighted LS for LARCH models
• Sequential empirical process in autoregressive models with measurement errors
• SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
• Testing for a change of the innovation distribution in nonparametric autoregression: the sequential empirical process approach
• Multi-sample Cramér-von Mises tests for ARCH residual empirical processes
• Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models
• Fitting an error distribution in some heteroscedastic time series models
• Estimating the innovation distribution in nonparametric autoregression
• Monitoring distributional changes of squared residuals in GARCH models
• The empirical distribution function and partial sum process of residuals from a stationary ARCH with drift process
• Large sample distribution of weighted sums of ARCH(\(p\)) squared residual correlations
• Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes
• Stationarity of squares sequences from ARCH(1)
• TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS
• Statistical estimation errors of VaR under ARCH returns
• TESTING FOR A CHANGE OF THE INNOVATION DISTRIBUTION IN AN ARCH MODEL
• Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models

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