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Empirical process of the squared residuals of an arch\n\t\t\t sequence

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References

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2005Monitoring disruptions in financial markets67 cited
2014ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS65 cited
2006Fitting an error distribution in some heteroscedastic time series models60 cited
2017Goodness-of-Fit Tests for Copulas of Multivariate Time Series54 cited
2003ASYMPTOTICS FOR GARCH SQUARED RESIDUAL CORRELATIONS50 cited

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2009

STATISTICAL INFERENCE FOR MULTIVARIATE RESIDUAL COPULA OF GARCH MODELS

40 cited

2003Limit results for the empirical process of squared residuals in GARCH models38 cited

2012Testing for parameter stability in nonlinear autoregressive models31 cited

2004Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals31 cited

2007Joint and marginal specification tests for conditional mean and variance models31 cited

2010Inconsistency of the MLE and inference based on weighted LS for LARCH models30 cited

2003ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE30 cited

2004The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests29 cited

2016Conditional Value-at-Risk: Semiparametric estimation and inference28 cited

2009Change‐Point Tests for the Error Distribution in Non‐parametric Regression17 cited