Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/61773
Authors: 
Horvath, Lajos
Kokoszka, Piotr
Teyssière, Gilles
Year of Publication: 
1999
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1999,87
Abstract: 
We show that the empirical process of the squared residuals of an ARCH(p) sequence converges in distribution 1,0 a Gaussirm process B(F(t)) +t f(t) e, where F is the distribution function of the squared innovations, f its derivative, {B(tl, 0 <; t>1} a Brownian bridge and e a normal random variable.
Subjects: 
ARCH model
empirical process
squared residuals
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
227.53 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.