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Residual analysis for ARCH(p)-time series

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  • Winfried Stute

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  • Winfried Stute, 2001. "Residual analysis for ARCH(p)-time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 10(2), pages 393-403, December.
    • Handle: RePEc:spr:testjl:v:10:y:2001:i:2:p:393-403
    DOI: 10.1007/BF02595704
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    References listed on IDEAS

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    1. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:

    1. Laïb Naâmane & Lemdani Mohamed & Ould Saïd Elias, 2013. "A functional conditional symmetry test for a GARCH-SM model: Power asymptotic properties," Statistics & Risk Modeling, De Gruyter, vol. 30(1), pages 75-104, March.
    2. Naâmane Laïb & Mohamed Lemdani & Elias Ould‐Saïd, 2008. "On residual empirical processes of GARCH‐SM models: application to conditional symmetry tests," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 762-782, September.
    3. Gabe Chandler & Wolfgang Polonik, 2017. "Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(1), pages 72-98, January.
    4. Cheng, Fuxia & Wen, Miin-Jye, 2011. "The L1 strong consistency of ARCH innovation density estimator," Statistics & Probability Letters, Elsevier, vol. 81(5), pages 548-551, May.
    5. Cheng, Fuxia, 2008. "Extended Glivenko-Cantelli Theorem in ARCH(p)-time series," Statistics & Probability Letters, Elsevier, vol. 78(12), pages 1434-1439, September.
    6. Christian Francq & Jean-Michel Zakoïan, 2020. "Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models," Working Papers hal-02898909, HAL.

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