Title of article
Limit results for the empirical process of squared residuals in GARCH models
Author/Authors
Berkes، نويسنده , , Istvلn and Horvلth، نويسنده , , Lajos، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2003
Pages
28
From page
271
To page
298
Abstract
We 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.
Keywords
GARCH(p , q) , Residuals , weak convergence , martingales , Parameter estimation
Journal title
Stochastic Processes and their Applications
Serial Year
2003
Journal title
Stochastic Processes and their Applications
Record number
1577229
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