scientific article; zbMATH DE number 2148871

MaRDI QIDQ4660424zbMATH OpenFDO

Authors Sangyeol Lee, Masanobu Taniguchi

Publication date 21 March 2005

zbMATH Keywords

Gaussian processweak convergenceGARCH modelstochastic regressionARCH modelasymptotically efficient estimatorLANresidual empirical processasymptotically optimal testARCH\((\infty)\)-SM model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cited in

(19)

• Bootstrap entropy test for general location-scale time series models with heteroscedasticity
• Copula parameter change test for nonlinear AR models with nonlinear GARCH errors
• The Bickel--Rosenblatt test for diffusion processes
• Asymptotics of rank order statistics for ARCH residual empirical processes.
• Extended Glivenko–Cantelli theorem and L₁ strong consistency of innovation density estimator for time-varying semiparametric ARCH model
• Local asymptotically optimal test in ARCH model
• Entropy test and residual empirical process for autoregressive conditional duration models
• LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS
• On residual empirical processes of GARCH-SM models: application to conditional symmetry tests
• Change point detection in copula ARMA-GARCH models
• A divergence test for autoregressive time series models
• Residual empirical processes for long and short memory time series
• Jarque-Bera normality test for the driving Lévy process of a discretely observed univariate SDE
• Testing the existence of moments for GARCH processes
• Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models
• Estimating the innovation distribution in nonparametric autoregression
• Asymptotic efficiency of conditional least squares estimators for ARCH models
• Statistical estimation errors of VaR under ARCH returns
• Inference in nonstationary asymmetric GARCH models

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