Residual analysis for ARCH(p)-time series.

DOI10.1007/BF02595704MaRDI QIDQ1872845zbMATH OpenFDO

Authors Winfried Stute

Publication date 18 May 2003

Published in Test (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02595704

zbMATH Keywords

ARCH(p)-time seriesconsistencydistributional convergencegoodness-of-fit

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• ARCH models and financial applications
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)

Cited in

(13)

• Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models
• Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity
• On residual empirical processes of GARCH-SM models: application to conditional symmetry tests
• scientific article; zbMATH DE number 1208109 (Why is no real title available?)
• scientific article; zbMATH DE number 2152222 (Why is no real title available?)
• A functional conditional symmetry test for a GARCH-SM model: Power asymptotic properties
• Asymptotics of $L_\lambda$ -Norms of ARCH(p) Innovation Density Estimators
• Testing Symmetry of the Error Distribution in Nonlinear Heteroscedastic Models
• Asymptotic properties in ARCH(p)-time series
• Extended Glivenko–Cantelli theorem and L₁ strong consistency of innovation density estimator for time-varying semiparametric ARCH model
• The \(L_{1}\) strong consistency of ARCH innovation density estimator
• Asymptotics for L2-norm of ARCH innovation density estimator
• Extended Glivenko-Cantelli theorem in ARCH(p)-time series

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