Hostname: page-component-7479d7b7d-k7p5g Total loading time: 0 Render date: 2024-07-10T23:51:48.740Z Has data issue: false hasContentIssue false

LARGE SAMPLE DISTRIBUTION OF WEIGHTED SUMS OF ARCH(p) SQUARED RESIDUAL CORRELATIONS

Published online by Cambridge University Press:  03 March 2001

Lajos Horváth
Affiliation:
University of Utah
Piotr Kokoszka
Affiliation:
University of Liverpool

Abstract

We develop asymptotic theory for linear statistics of sample autocorrelations of squared residuals from an ARCH(p) model. Our results are valid for most estimators used in practice and do not depend on the assumption of normality of the errors; the existence of the fourth moment is required. In several special cases, we identify the limit distributions as well-known functionals of a Brownian motion.

Type
Research Article
Copyright
© 2001 Cambridge University Press

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)