Asymptotic properties in ARCH(p)-time series

DOI10.1080/10485250701830139zbMath1359.62361OpenAlexW2062545800MaRDI QIDQ5457949

Fuxia Cheng

Publication date: 10 April 2008

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485250701830139

zbMATH Keywords

kernel density estimationresidualsARCH(\(p\))-time series

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

The \(L_{1}\) strong consistency of ARCH innovation density estimator ⋮ A goodness-of-fit test for GARCH innovation density ⋮ Asymptotics of $L_\lambda$ -Norms of ARCH(p) Innovation Density Estimators ⋮ Asymptotics for L2-norm of ARCH innovation density estimator

Cites Work

• ARCH models and financial applications
• \(L_{p}\)-estimators in ARCH models
• Empirical process of the squared residuals of an ARCH sequence
• Residual analysis for \(\text{ARCH}(p)\)-time series.
• On some global measures of the deviations of density function estimates
• Weighted sums of certain dependent random variables
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• Foundations of Modern Probability

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