Asymptotics for L2-norm of ARCH innovation density estimator
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Cites work
- scientific article; zbMATH DE number 3671500 (Why is no real title available?)
- ARCH models and financial applications
- Asymptotic properties in ARCH(p)-time series
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Extended Glivenko-Cantelli theorem in ARCH\((p)\)-time series
- On some global measures of the deviations of density function estimates
- Residual analysis for \(\text{ARCH}(p)\)-time series.
- The \(L_{1}\) strong consistency of ARCH innovation density estimator
- \(L_{p}\)-estimators in ARCH models
Cited in
(5)- Asymptotics of $L_\lambda$ -Norms of ARCH(p) Innovation Density Estimators
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- The \(L_{1}\) strong consistency of ARCH innovation density estimator
- \(L_{p}\)-estimators in ARCH models
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