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On the empirical characteristic function process of the residuals in GARCH models and applications

✍ Scribed by Jiménez Gamero, M. Dolores

Book ID
121548389
Publisher
CrossRef test prefix
Year
2014
Tongue
English
Weight
329 KB
Volume
23
Category
Article
ISSN
1234-5678

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A note on the residual empirical process
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✍ Sangyeol Lee 📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 242 KB

Suppose that {X,} is the stationary AR(p) process of the form: X, -/,t = fll(Xt.-i -la) + ... + [~t,(X,\_p -I~) + ~:,, where {~:,} is a sequence of i.i.d, random variables with mean zero and finite variance a 2. In this paper, we study the asymptotic behavior of the empirical process computed from t