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On residual empirical processes of GARCH-SM models: application to conditional symmetry tests

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Author Info
Naâmane Laïb
Mohamed Lemdani
Elias Ould-Saïd
Abstract

Considering the generalized autoregressive conditionally heteroskedastic with stochastic mean (GARCH-SM) model, we establish in this article the consistency and the weak representation of a functional of its residual empirical process. Based on this result, a symmetry test for GARCH-SM model is developed. Simulations are given to show the asymptotic behaviour and normality of the test statistic. Copyright 2008 The Authors. Journal compilation 2008 Blackwell Publishing Ltd

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9892.2008.00580.x
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Article provided by Blackwell Publishing in its journal Journal of Time Series Analysis.

Volume (Year): 29 (2008)
Issue (Month): 5 (09)
Pages: 762-782
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Handle: RePEc:bla:jtsera:v:29:y:2008:i:5:p:762-782

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