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Horvath, Lajos
Kokoszka, Piotr
Teyssière, Gilles
Year of Publication: 
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1999,87
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.
ARCH model
empirical process
squared residuals
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Working Paper

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