Limit results for the empirical process of squared residuals in GARCH models
AbstractWe study the asymptotic behavior of the empirical distribution function and the empirical process of squared residuals. We prove the Glivenko-Cantelli theorem for the empirical distribution function. We show that the two-parameter empirical process converges to a Gaussian process.
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 105 (2003)
Issue (Month): 2 (June)
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