Empirical process of the squared residuals of an ARCH sequence
From MaRDI portal
Publication:1848867
Recommendations
- Asymptotics of rank order statistics for ARCH residual empirical processes.
- The empirical distribution function and partial sum process of residuals from a stationary ARCH with drift process
- Limit results for the empirical process of squared residuals in GARCH models.
- scientific article; zbMATH DE number 2066279
- scientific article; zbMATH DE number 1223290
Cites work
- scientific article; zbMATH DE number 3858075 (Why is no real title available?)
- scientific article; zbMATH DE number 5604036 (Why is no real title available?)
- scientific article; zbMATH DE number 3909518 (Why is no real title available?)
- scientific article; zbMATH DE number 3940457 (Why is no real title available?)
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 3502497 (Why is no real title available?)
- scientific article; zbMATH DE number 3551729 (Why is no real title available?)
- scientific article; zbMATH DE number 1223290 (Why is no real title available?)
- scientific article; zbMATH DE number 1048663 (Why is no real title available?)
- scientific article; zbMATH DE number 774844 (Why is no real title available?)
- scientific article; zbMATH DE number 2206037 (Why is no real title available?)
- ARCH models and financial applications
- Approximations of the empirical process when parameters are estimated
- 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
- Distribution-free strong consistency for nonparametric kernel regression involving nonlinear time series
- Evaluating GARCH models.
- FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
- Kernel-transformed empirical processes
- Large sample distribution of weighted sums of ARCH(\(p\)) squared residual correlations
- Martingale Approach in the Theory of Goodness-of-Fit Tests
- Nonparametric model checks for time series
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
- Testing and estimating change-points in time series
- Testing for long memory in the presence of a general trend
- The sample autocorrelations of heavy-tailed processes with applications to ARCH
- Time series: theory and methods.
- Weak convergence of the sequential empirical processes of residuals in ARMA models
Cited in
(40)- Change-point tests for the error distribution in nonparametric regression
- Asymptotics for GARCH squared residual correlations
- Extended Glivenko–Cantelli theorem and L1 strong consistency of innovation density estimator for time-varying semiparametric ARCH model
- Detection of multiple change-points in multivariate time series
- TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS
- Monitoring distributional changes of squared residuals in GARCH models
- Guaranteed detection of an imbalance instant of the GARCH-process
- Joint and marginal specification tests for conditional mean and variance models
- Monitoring disruptions in financial markets
- Stationarity of squares sequences from ARCH(1)
- Normalized least-squares estimation in time-varying ARCH models
- Statistical estimation errors of VaR under ARCH returns
- Testing for a change of the innovation distribution in nonparametric autoregression: the sequential empirical process approach
- The empirical distribution function and partial sum process of residuals from a stationary ARCH with drift process
- Estimation of the maximal moment exponent of a GARCH(1,1) sequence
- On empirical processes in heteroscedastic time series and their use for hypothesis testing and estimation
- Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity
- Asymptotic properties in ARCH(p)-time series
- Econometric analysis of volatility component models
- Testing for a change of the innovation distribution in an ARCH model
- Testing for bubbles and change-points
- Estimating the innovation distribution in nonparametric autoregression
- Large sample distribution of weighted sums of ARCH(\(p\)) squared residual correlations
- Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models
- Conditional value-at-risk: semiparametric estimation and inference
- Sequential empirical process in autoregressive models with measurement errors
- Limit results for the empirical process of squared residuals in GARCH models.
- Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes
- Inconsistency of the MLE and inference based on weighted LS for LARCH models
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
- Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models
- Minimum alpha-divergence estimation for arch models
- Multi-sample Cramér-von Mises tests for ARCH residual empirical processes
- 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
- scientific article; zbMATH DE number 2066279 (Why is no real title available?)
- Testing for multivariate volatility functions using minimum volume sets and inverse regression
- Fitting an error distribution in some heteroscedastic time series models
- Asymptotics of rank order statistics for ARCH residual empirical processes.
This page was built for publication: Empirical process of the squared residuals of an ARCH sequence
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1848867)
