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Activity Number: 424
Type: Contributed
Date/Time: Tuesday, August 6, 2013 : 2:00 PM to 3:50 PM
Sponsor: Section on Nonparametric Statistics
Abstract - #308131
Title: Asymptotics for Lr-Norm of ARCH(p) Innovation Density Estimators
Author(s): Fuxia Cheng*+
Companies: Illinois State University
Keywords: ARCH(p) ; Lr-norm ; CLT
Abstract:

ARCH(p)-model has found much interest in financial econometrics. It was introduced by Engle(1982) in order to provide a framework in which so-called volatility clusters may occur, i.e., periods of high and low (conditional) variances depending on past values of the series. The model was later extended into various directions.

In this talk, we consider the asymptotics for the Lr-norm of innovation density estimators in ARCH(p)-time series. We obtain the strong consistency and the central limit theorem (CLT) for Lr-norm of innovation density estimators.


Authors who are presenting talks have a * after their name.

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