Journalartikel
Residual analysis for ARCH(p)-time series
Autorenliste: Stute, W
Jahr der Veröffentlichung: 2001
Seiten: 393-403
Zeitschrift: TEST
Bandnummer: 10
Heftnummer: 2
ISSN: 1133-0686
DOI Link: https://doi.org/10.1007/BF02595704
Verlag: Springer
Abstract:
In this paper we provide consistency and distributional convergence results for functions of residuals from an ARCH(p)-time series. An application to a goodness-of-fit problem is also discussed.
Zitierstile
Harvard-Zitierstil: Stute, W. (2001) Residual analysis for ARCH(p)-time series, TEST, 10(2), pp. 393-403. https://doi.org/10.1007/BF02595704
APA-Zitierstil: Stute, W. (2001). Residual analysis for ARCH(p)-time series. TEST. 10(2), 393-403. https://doi.org/10.1007/BF02595704
Schlagwörter
ARCH(p)-time series; consistency; distributional convergence; GOODNESS-OF-FIT
