Asymptotics of rank order statistics for ARCH residual empirical processes.

DOI10.1016/S0304-4149(02)00239-9zbMath1075.62079OpenAlexW2084584694MaRDI QIDQ2574560

Yanyan Li

Publication date: 29 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(02)00239-9

zbMATH Keywords

robustnessconfidence intervalsempirical processesasymptotic relative efficiencyARCH modelsquared residualstwo-sample rank order statistics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (1)

Statistical estimation errors of VaR under ARCH returns

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