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, ...

Journal of Applied Econometrics, Vol. 27, No. 6, Themes on Modelling Volatility (September-October 2012), pp. 934-955 (22 pages) This paper addresses the question of the selection of multivariate ...

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...