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Empirical Process of the Squared Residuals of an ARCH Sequence

Author

Listed:
  • Horvath, L.
  • Kokoszka, P.
  • Teyssiere, G.

Abstract

We show that the empirical process of the squared residuals of an ARCH(p) sequence converges in distribution to a Gaussian process B (F(t)) + tf(t)E , where F is the distribution function of the squared innovations, f its derivative, {B(t), 0

Suggested Citation

  • Horvath, L. & Kokoszka, P. & Teyssiere, G., 1999. "Empirical Process of the Squared Residuals of an ARCH Sequence," G.R.E.Q.A.M. 99a44, Universite Aix-Marseille III.
  • Handle: RePEc:fth:aixmeq:99a44
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    Cited by:

    1. Elena Andreou, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 290-318.
    2. Andreou, Elena & Ghysels, Eric, 2006. "Monitoring disruptions in financial markets," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 77-124.
    3. Zhu, Ke, 2015. "Hausman tests for the error distribution in conditionally heteroskedastic models," MPRA Paper 66991, University Library of Munich, Germany.
    4. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.

    More about this item

    Keywords

    EXPERIMENTS ; ECONOMIC MODELS ; ECONOMETRICS;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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