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- W1481284698 abstract "Abstract. Considering the generalized autoregressive conditionally heteroskedastic with stochastic mean (GARCH-SM) model, we establish in this article the consistency and the weak representation of a functional of its residual empirical process. Based on this result, a symmetry test for GARCH-SM model is developed. Simulations are given to show the asymptotic behaviour and normality of the test statistic." @default.
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- W1481284698 date "2008-07-22" @default.
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- W1481284698 title "On residual empirical processes of GARCH-SM models: application to conditional symmetry tests" @default.
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- W1481284698 doi "https://doi.org/10.1111/j.1467-9892.2008.00580.x" @default.
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