In this paper, we have two asymptotic objectives: the LAN and the residual empirical process for a class of ARCH(∞)−SM (stochastic mean) models, which covers finite-order ARCH and GARCH models. First, ...
This is a preview. Log in through your library . Abstract Using a spectral approach, the authors propose tests to detect multivariate ARCH effects in the residuals from a multivariate regression model ...
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