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Extension of the asymptotic normal distribution theorem to ARCH processes
Let an ARCH process be a time-series process with autoregressive conditional heteroskedasticity, and let the marginal law of its observations have a finite fourth moment. Let Theor…
Conjectureopenarch-processes asymptotic-normality time-seriesarXiv posted 2 days ago
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Conjecture that the ARCH(1) moment restriction can be weakened to p > 2
An ARCH(1) process is a heteroskedastic time-series process, and $p$ denotes the moment parameter in Assumptions (B). The condition $p>8$ is the moment restriction imposed there. A…
Conjectureopenarch-processes nonparametric-statistics time-seriesarXiv posted 2 days ago

Extension of the asymptotic normal distribution theorem to ARCH processes