Journal article
Residual analysis for ARCH(p)-time series
Authors list: Stute, W
Publication year: 2001
Pages: 393-403
Journal: TEST
Volume number: 10
Issue number: 2
ISSN: 1133-0686
DOI Link: https://doi.org/10.1007/BF02595704
Publisher: 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.
Citation Styles
Harvard Citation style: Stute, W. (2001) Residual analysis for ARCH(p)-time series, TEST, 10(2), pp. 393-403. https://doi.org/10.1007/BF02595704
APA Citation style: Stute, W. (2001). Residual analysis for ARCH(p)-time series. TEST. 10(2), 393-403. https://doi.org/10.1007/BF02595704
Keywords
ARCH(p)-time series; consistency; distributional convergence; GOODNESS-OF-FIT
