Asymptotic theory for ARCH-SM models: Lan and residual empirical processes

Statistica Sinica

Volumn 15, Issue 1, 2005, Pages 215-234

  Lee, Sangyeol ^a,b   Taniguchi, Masanobu ^a,b  

^a Seoul National University   (South Korea)

^b WASEDA UNIVERSITY   (Japan)

Author keywords

ARCH model; ARCH( ) SM model; Asymptotically efficient estimator; Asymptotically optimal test; GARCH model; Gaussian process; LAN; Residual empirical process; Weak convergence

Indexed keywords

EID: 17244365395     PISSN: 10170405     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

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