Limit results for the empirical process of squared residuals in GARCH models.
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Publication:2574571
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Cites work
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Distribution Free Tests of Independence Based on the Sample Distribution Function
- Empirical process of the squared residuals of an ARCH sequence
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- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
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- scientific article; zbMATH DE number 1944031 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Large sample distribution of weighted sums of ARCH(p) squared residual correlations
- Non-linear time series and Markov chains
- On empirical processes in heteroscedastic time series and their use for hypothesis testing and estimation
- ON STATIONARITY IN THE ARCH(∞) MODEL
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
- Sequential residue empirical processes in the ARCH model
- Stationarity of GARCH processes and of some nonnegative time series
- Strict stationarity of generalized autoregressive processes
- Testing and estimating change-points in time series
- Time series: theory and methods.
Cited in
(26)- Goodness-of-fit test for tail copulas modeled by elliptical copulas
- Testing the equality of error distributions from \(k\) independent GARCH models
- Estimating the innovation distribution in nonparametric autoregression
- Empirical process of the squared residuals of an ARCH sequence
- Strong approximation of the empirical process of GARCH sequences
- Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models
- Fitting an error distribution in some heteroscedastic time series models
- Extensions of some classical methods in change point analysis
- On the empirical characteristic function process of the residuals in GARCH models and applications
- Estimating dynamic copula dependence using intraday data
- Testing for parameter stability in nonlinear autoregressive models
- Monitoring distributional changes of squared residuals in GARCH models
- Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models
- Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes
- Simulation and Estimation of the Meixner Distribution
- ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES
- Properties of the Autocorrelation Function of Squared Observations for Second-order Garch Processes Under Two Sets of Parameter Constraints
- Asymptotics for GARCH squared residual correlations
- scientific article; zbMATH DE number 2152222 (Why is no real title available?)
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
- Extended Glivenko–Cantelli theorem and L1 strong consistency of innovation density estimator for time-varying semiparametric ARCH model
- A residual bootstrap for conditional value-at-risk
- Quasi-likelihood estimation in volatility models for semi-continuous time series
- Inference on dynamic systemic risk measures
- Hurdle GARCH models for nonnegative time series
- Testing for bubbles and change-points
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