High moment partial sum processes of residuals in GARCH models and their applications
Work
Year: 2005
Type: article
Abstract: In this paper we construct high moment partial sum processes based on residuals of a GARCH model when the mean is known to be 0. We consider partial sums of kth powers of residuals, CUSUM processes an... more
Source: The Annals of Statistics
Authors Reg Kulperger, Yu Hao
Institution Western University
Cites: 19
Cited by: 63
Related to: 10
FWCI: 3.539
Citation percentile (by year/subfield): 96.49
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Industry, innovation and infrastructure
Open Access status: bronze